Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

DOI10.1111/j.1468-0262.2004.00558.xzbMath1142.62312MaRDI QIDQ5475067

Lung-fei Lee

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00558.x

Mathematics Subject Classification ID

62M30: Inference from spatial processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62E10: Characterization and structure theory of statistical distributions

Related Items

Maximum likelihood estimation of a spatial autoregressive Tobit model, Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances, Estimation of spatial autoregressive panel data models with fixed effects, A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS, Finite sample properties of maximum likelihood estimator in spatial models, GMM and 2SLS estimation of mixed regressive, spatial autoregressive models, Spatial correlation robust inference with errors in location or distance, Panel data models with spatially correlated error components, HAC estimation in a spatial framework, The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models, A central limit theorem for endogenous locations and complex spatial interactions, Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large, Correlation testing in time series, spatial and cross-sectional data, A test of cross section dependence for a linear dynamic panel model with regressors, Functional-coefficient spatial autoregressive models with nonparametric spatial weights, Spillover dynamics for systemic risk measurement using spatial financial time series models, Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models, Information theory estimators for the first-order spatial autoregressive model, Identification and estimation of econometric models with group interactions, contextual factors and fixed effects, Estimation of fixed effects panel regression models with separable and nonseparable space-time filters, Non-nested testing of spatial correlation, Inference and testing breaks in large dynamic panels with strong cross sectional dependence, Shrinkage estimation of the linear model with spatial interaction, Spatial dynamic panel data models with interactive fixed effects, On spatial processes and asymptotic inference under near-epoch dependence, Efficient minimum distance estimation with multiple rates of convergence, Partial maximum likelihood estimation of spatial probit models, A note on 2SLS estimation of the mixed regressive spatial autoregressive model, Large panels with common factors and spatial correlation, Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics, Efficient estimation of the semiparametric spatial autoregressive model, Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models, GMM estimation of spatial autoregressive models with unknown heteroskedasticity, The exact bias of \(s^2\) in linear panel regressions with spatial autocorrelation, On the consistency of the LIML estimator of a spatial autoregressive model with many instruments, A contribution to the theory and empirics of Schumpeterian growth with worldwide interactions, GMM estimation of social interaction models with centrality, An efficient GMM estimator of spatial autoregressive models, Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix, Inference with dependent data using cluster covariance estimators, Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration, Nonparametric spatial regression under near-epoch dependence, Semiparametric GMM estimation of spatial autoregressive models, One-step estimation of spatial dependence parameters: Properties and extensions of the APLE statistic, Variable selection for spatial autoregressive models with a diverging number of parameters, Asymptotic distribution of the OLS estimator for a mixed spatial model, Refinements in maximum likelihood inference on spatial autocorrelation in panel data, Series estimation under cross-sectional dependence, An \(O(N)\) parallel method of computing the log-Jacobian of the variable transformation for models with spatial interaction on a lattice, Memory properties and aggregation of spatial autoregressive models, Spatial lag test with equal weights, Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference, Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels, Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach, Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias, Identification of peer effects via a root estimator, Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension, Spatial weights matrix selection and model averaging for spatial autoregressive models, Autoregressive spatial spectral estimates, Nonparametric specification testing via the trinity of tests, GEL estimation and tests of spatial autoregressive models, Portal nodes screening for large scale social networks, A spatial latent class model, Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model, Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence, A note on \(S^{2}\) in a spatially correlated error components regression model for panel data, Spurious spatial regression with equal weights, Identification and estimation of linear social interaction models, Approximate least squares estimation for spatial autoregressive models with covariates, Empirical likelihood for spatial autoregressive models with spatial autoregressive disturbances, An overview on econometric models for linear spatial panel data, Empirical likelihood for mixed regressive, spatial autoregressive model based on GMM, Limit theorems for network dependent random variables, A robust spatial autoregressive scalar-on-function regression with \(t\)-distribution, Dynamic spatial panel data models with common shocks, Spatial modelling of linear regression coefficients for gauge measurements against satellite estimates, Estimation of partially linear single-index spatial autoregressive model, Consistency without compactness of the parameter space in spatial econometrics, Adaptive inference on pure spatial models, Multivariate spatial autoregressive model for large scale social networks, Spatial dynamic models with intertemporal optimization: specification and estimation, Robust estimation and inference of spatial panel data models with fixed effects, Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances, Adjusted QMLE for the spatial autoregressive parameter, Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables, Spatial system estimators for panel models: a sensitivity and simulation study, Regularized bridge-type estimation with multiple penalties, A note on spatial-temporal lattice modeling and maximum likelihood estimation, Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models, IPW-based robust estimation of the SAR model with missing data, A semiparametric spatial dynamic model, Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation, A likelihood ratio test for spatial model selection, Fixed-effects dynamic spatial panel data models and impulse response analysis, Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator, Bayesian estimation and model selection of threshold spatial Durbin model, Two-mode network autoregressive model for large-scale networks, Testing spatial dependence in spatial models with endogenous weights matrices, Network quantile autoregression, Randomized algorithms of maximum likelihood estimation with spatial autoregressive models for large-scale networks, Testing a linear relationship in varying coefficient spatial autoregressive models, Spatial Autoregressive Conditional Heteroskedasticity Models, EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS, FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS, ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS, LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS, SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS, Variable selection of partially linear varying coefficient spatial autoregressive model, Penalized profile quasi-maximum likelihood method of partially linear spatial autoregressive model, Network Influence Analysis, Spatial autoregressive partially linear varying coefficient models, Estimation and Inference for Generalized Geoadditive Models, Network Imputation for Spatial Autoregression Model with Incomplete Data, Feature Screening for Network Autoregression Model, EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES, The LLN and CLT for U-statistics under cross-sectional dependence, Robust Test for Spatial Error Model: Considering Changes of Spatial Layouts and Distribution Misspecification, ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES, Nonparametric spatial regression with spatial autoregressive error structure, GMM inference in spatial autoregressive models, Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances, Common factors and spatial dependence: an application to US house prices, Statistical inference of partially specified spatial autoregressive model, Estimating a spatial autoregressive model with an endogenous spatial weight matrix, On the bootstrap for Moran's \(I\) test for spatial dependence, LM tests of spatial dependence based on bootstrap critical values, QML estimation of dynamic panel data models with spatial errors, A spatial autoregressive model with a nonlinear transformation of the dependent variable, Inference on higher-order spatial autoregressive models with increasingly many parameters, A general method for third-order bias and variance corrections on a nonlinear estimator, Large sample properties of the matrix exponential spatial specification with an application to FDI, On the asymptotics of maximum likelihood estimation for spatial linear models on a lattice, Semiparametric estimation and testing of smooth coefficient spatial autoregressive models, Efficient GMM estimation of spatial dynamic panel data models with fixed effects, Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model, Endogenous network production functions with selectivity, Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration, Spatial dynamic panel data models with correlated random effects, Estimation and inference in spatial models with dominant units, FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS, Statistical Inference on the Parametric Component in Partially Linear Spatial Autoregressive Models, Detection of spatial change points in the mean and covariances of multivariate simultaneous autoregressive models, Weak and strong cross‐section dependence and estimation of large panels, On skewness and kurtosis of econometric estimators, Estimating spatial covariance using penalised likelihood with weightedL₁penalty, Large-sample inference on spatial dependence, REFINED TESTS FOR SPATIAL CORRELATION, ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS