Large and Small Sample Properties of the MESS Specification 11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012 Large and Small Sample Properties of the MESS Specification by Nicolas DEBARSY(1), Fei JIN(2) and Lung-Fei LEE(2) (1)CNRS, LEO - University of Orléans (2)Ohio State University Discussant : Alain PIROTTE ERMES (CNRS) and TEPP (CNRS), University of Panthéon-Assas Paris II / Sorbonne University IFSTTAR-DEST, French Institute of Science and Technology for Transport, Development and Networks

11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012 SUMMARY      

11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012   -2 0,8647 -3 0,9506 -5 0,9933 -1,5 0,7768 -0,5 0,3934 1 -1,7182 (?) 1,5 -3,4816 (?)

11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012  

- This paper retains a Cross-Section framework Þ Panel Data framework: 11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012 - This paper retains a Cross-Section framework Þ Panel Data framework: Individual heterogeneity Þ Structure of heteroskedasticity is more complicated, see Baltagi, Bresson and Pirotte (JofE, 2006); Nested Error Components structure (single nested structure Þ Baltagi, Song and Jung (JofE, 2001) and double nested structure Þ Antweiler (JofE, 2001)). In applied economics often two problems occur: autocorrelated and heteroskedastic disturbances; Spatial Lag + (SAR + RE disturbances, see Kapoor, Kelejian and Prucha (JofE, 2007)).