Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study

The goal of this paper is to provide a cohesive description and a critical comparison of the main estimators proposed in the literature for spatial binary choice models. The properties of such estimators are investigated using a theoretical and simulation study. To the authors' knowledge, this is the first paper that provides a comprehensive Monte Carlo study of the estimators' properties. This simulation study shows that the Gibbs estimator Le Sage (2000) performs best for low spatial autocorrelation, while the Recursive Importance Sampler Beron & Vijverberg (2004) performs best for high spatial autocorrelation. The same results are obtained by increasing the sample size. Finally, the linearized General Method of Moments estimator Klier & McMillen (2008) is the fastest algorithm that provides accurate estimates for low spatial autocorrelation and large sample size.
22 pages, 1 figure, submitted for review and available as Working Papers 201215, Geary Institute, University College Dublin