关键词: 空间自回归模型, 极大似然方法, 测量误差, 二阶段最小二乘估计量 Hausman型检验

Abstract: Recently, spatial autoregressive models are widespread applicated in many empirical studies and most of which use ML method to estimate the spatial model. In this paper, we show that MLE is generally inconsistent even with measurement error only existing in the dependent variables, regardless of whether the measurement error is independent of the disturbance term or not. Hausman-type specification test is then generalized to the spatial context and we suggest using the 2SLS estimator proposed by Kelejian&Prucha (1998) and Lee (2003) when the null hypothesis is rejected. Monte Carlo simulation results are consistent with our theoretical analysis and an example on spillover effect of local environmental spending is used to illustrate the proposed procedures and methods. 
 

Key words: Spatial autoregressive model, Maximum likelihood method, Measurement errors, Two stage least squares estimator, Hausman-type test