1. 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

2. 11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012
SUMMARY

3. 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 (?)

4. 11th International Workshop of Spatial Econometrics and Statistics – Avignon 2012

5. - 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)).