This paper derives a 3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects which can therefore handle endoegeneity, spatial lag dependence, heterogeneity as well as cross equation correlation. This is done by utilizing the Kelejian and Prucha (1998) and Lee (2003) type instruments from the cross-section spatial autoregressive literature and marrying th...

We use U.S. county data (3,058 observations) and 41 conditioning variables to study growth and convergence. Using ordinary least squares (OLS) and three-stage least squares with instrumental variables (3SLS-IV), we report on the full sample and metro, nonmetro, and and regional samples: (1) OLS yields convergence rates around 2%; 3SLS yields 6%–8%; (2) convergence rates vary (for example, the S...

This introduction to the R package systemfit is a slightly modified version of Henningsen and Hamann (2007), published in the Journal of Statistical Software. Many statistical analyses (e.g., in econometrics, biostatistics and experimental design) are based on models containing systems of structurally related equations. The systemfit package provides the capability to estimate systems of linear...

This study investigates the impact of board gender diversity (BGD) on firm performance (FP) for family-owned Indian firms. To do so, this selects a sample 75 top-listed firms period 5 years. For empirical analysis, used appropriate panel data models. robustness, three-stage least square (3SLS) model was used. The findings obtained from models reveal significant positive BGD in terms its differe...

A system of nonlinear biomass component equations was developed for slash pine (Pinus elliottii Engelm. var. elliottii) trees using an econometric approach in which endogenous right-hand-side variables were included some equations. The fitted to data from 306 sampled the southeastern United States with weighted two-stage (2SLS) and three-stage (3SLS) least squares full information maximum-likel...

This paper re-examines the Hotelling model of optimal nonrenewable resource extraction in light of stock effects and technological progress. We assume functional forms for cost and demand so that the solution to the Hotelling problem is a steady-state consistent with the empirical observation that the growth rates of market prices have remained zero over a long period of time. We use data on 14...

Purpose This study aims at investigating the impact of disclosure and Shariah governance on financial performance in MENASA (Middle East, North Africa Southeast Asia) Islamic banks. Design/methodology/approach We use Generalized Least Squares (GLS) regression models to check interdependence relationship between disclosure, 47 banks (IBs) from ten countries operating region. The sample period is...

We estimate the probability of informed trading (Pi) in an order-driven stock market and perform a comprehensive analysis on the interrelations among Pi and three common performance indicators: liquidity, volatility, and efficiency. We find that uninformed traders exhibit price chasing behavior, and price volatility attracts uninformed traders. Using 3SLS which considers the endogeneity of Pi a...

This paper extends, in an asymptotic sense, the strong and the weaker mean square error criteria and corresponding tests to linear models with non-spherical disturbances where the error covariance matrix is unknown but a consistent estimator for it is available. The mean square error tests of Toro-Vizcorrondo and Wallace (1968) and Wallace (1972) test for the superiority of restricted over unre...