Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias

DOI10.1016/J.CSDA.2015.02.003zbMath1468.62224OpenAlexW1964657308MaRDI QIDQ1663316

Chang Ding, Dalei Yu, Peng Bai

Publication date: 21 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2015.02.003

zbMATH Keywords

small sample biasadjusted quasi-maximum likelihood estimatordegrees of freedom lossmixed regressivespatial autoregressive

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Quantile regression for varying coefficient spatial error models ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers ⋮ Adjusted QMLE for the spatial autoregressive parameter ⋮ Robust estimation and confidence interval in meta-regression models

Cites Work

• Unnamed Item
• Finite sample properties of maximum likelihood estimator in spatial models
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Linear and generalized linear mixed models and their applications.
• Maximum likelihood estimation of spatially and serially correlated panels with random effects
• Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
• Forecasting with spatial panel data
• A note on the existence and uniqueness of quasi-maximum likelihood estimators for mixed regressive, spatial autoregression models
• The asymptotic distribution of REML estimators
• Adjustment of the Profile Likelihood for a Class of Normal Regression Models
• Estimation Methods for Models of Spatial Interaction
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

This page was built for publication: Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias