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- W2600805770 abstract "My dissertation develops new econometric results on misspecification problem, model selection, and statistical hypothesis testing in SAR models and applies them to the price reaction function estimation and the testing for the relevant market definition in the retail gasoline market. The first essay, “Bias from Misspecified Spatial Weight Matrices in SAR Models: Theory and Simulation Studies”, explores the consequences of misspecified spatial interdependence structure in SAR models with a row-normalized weight matrix. Empirical research using SAR models relies on an ad hoc prior specification of the spatial weight matrix to determine the pattern of correlation between units at different locations. Such methods often lead to misspecification problems as they are based on intuitive grounds with little or no attempt at empirical verification. I provide the analytical formulae for the asymptotic biases of the OLS estimator when a spatial weight matrix is over-specified, under-specified, or omitted in a simple linear regression model. I then design Monte Carlo experiments to study how a misspecified spatial weight matrix in the SAR model might impact the finite sample properties of the 2SLSE and MLE. The major finding is that an “over-specification” of the weight matrix causes less bias in 2SLSE and MLE as well as lower RMSE than an “under-specification.” The results also strongly suggest that goodness of fit measures such as adjusted R-square and log-likelihood can serve as selection criteria for the choice of a spatial weight matrix." @default.
- W2600805770 created "2017-04-07" @default.
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- W2600805770 date "2008-01-01" @default.
- W2600805770 modified "2023-09-26" @default.
- W2600805770 title "Three Essays On Spatial Econometrics And Empirical Industrial Organization" @default.
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