FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
From MaRDI portal
Publication:4917230
DOI10.1017/S0266466612000229zbMath1261.91037MaRDI QIDQ4917230
Publication date: 29 April 2013
Published in: Econometric Theory (Search for Journal in Brave)
Related Items
CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS, Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference, REFINED TESTS FOR SPATIAL CORRELATION, Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias, Saddlepoint Approximations for Spatial Panel Data Models, Adjusted QMLE for the spatial autoregressive parameter, EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS, Bias in the estimation of mean reversion in continuous-time Lévy processes, On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators, A general method for third-order bias and variance corrections on a nonlinear estimator, Higher-order least squares inference for spatial autoregressions
Cites Work
- Unnamed Item
- Unnamed Item
- GMM estimation with cross sectional dependence
- Finite sample properties of maximum likelihood estimator in spatial models
- The second-order bias and mean squared error of estimators in time-series models
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Expectation of quadratic forms in normal and nonnormal variables with applications
- Social Interactions, Local Spillovers and Unemployment
- The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
- A bias-adjusted LM test of error cross-section independence
- COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS
- On the Formulation of Wald Tests of Nonlinear Restrictions
- Statistical distributions in univariate and multivariate Edgeworth populations
- Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
- EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models