Selecting the Interaction Matrix. Some Useful Criteria

  1. Jesús Mur
  2. Manuel Ruiz Marín 1
  3. Marcos Herrera
  1. 1 Universidad Politécnica de Cartagena
    info

    Universidad Politécnica de Cartagena

    Cartagena, España

    ROR https://ror.org/02k5kx966

Actas:
Seminario; 7th Jean Paelinck Seminar; 2014

Año de publicación: 2014

Congreso: VII Jean Paelinck Seminar. JP7-2014.

Tipo: Aportación congreso

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Resumen

In spatial econometrics, it is customary to specify a weighting matrix, the so-called W matrix, by choosing one matrix from a finite set of matrices. The decision is extremely important because, if the W matrix is misspecified, the estimates are likely to be biased and inconsistent. However, the procedure to select W is not well defined and, usually, it reflects the judgments of the user. In this paper, we revise the literature looking for criteria to help with this problem. Also, a new nonparametric procedure is introduced. Our proposal is based on a measure of the information, minimum conditional entropy, MW. We compare these alternatives by means of a Monte Carlo experiment