An efficient GMM estimator of spatial autoregressive models

DOI10.1016/J.JECONOM.2010.08.001MaRDI QIDQ737249zbMATH OpenOpenAlexFDO

Authors D. Kharzeev

Publication date 10 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.08.001

zbMATH Keywords

efficiencyGMMQMLEspatial autoregressive modelsspatial correlated disturbances

Mathematics Subject Classification ID

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

Recommendations

• Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances
• Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix
• GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
• Improved GMM estimation of the spatial autoregressive error model
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models

Cites work

• scientific article; zbMATH DE number 3550043 (Why is no real title available?)
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• Efficient estimation of the semiparametric spatial autoregressive model
• Estimation Methods for Models of Spatial Interaction
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• GMM with Many Moment Conditions
• Matrix Analysis
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Redundancy of moment conditions

Cited in

(39)

• GMM estimation of partially linear additive spatial autoregressive model
• Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances
• QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
• Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
• A combined moment equation approach for spatial autoregressive models
• GMM inference in spatial autoregressive models
• Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix
• Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
• Improved GMM estimation of the spatial autoregressive error model
• A general framework for spatial GARCH models
• Optimum property of estimating function for spatial autoregressive models
• Asymptotics of improved generalized moment estimators for spatial autoregressive error models
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
• Empirical likelihood for spatial autoregressive models with spatial autoregressive disturbances
• Specification Test for Spatial Autoregressive Models
• Adaptive inference on pure spatial models
• Empirical likelihood for mixed regressive, spatial autoregressive model based on GMM
• Statistical inference on the parametric component in partially linear spatial autoregressive models
• Indirect inference estimation of higher-order spatial autoregressive models
• Semiparametric GMM estimation of spatial autoregressive models
• The GMM estimation of semiparametric spatial stochastic frontier models
• GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
• Spatial weights matrix selection and model averaging for spatial autoregressive models
• GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
• Efficient GMM estimation of spatial dynamic panel data models with fixed effects
• Fast and scalable computations for Gaussian hierarchical models with intrinsic conditional autoregressive spatial random effects
• Testing a linear relationship in varying coefficient spatial autoregressive models
• A note on efficient simulation of multidimensional spatial autoregressive processes
• Moment redundancy test with application to efficiency-improving copulas
• GEL estimation and tests of spatial autoregressive models
• Empirical likelihood and GMM for spatial models
• Large sample properties of the matrix exponential spatial specification with an application to FDI
• Varying-coefficient spatial dynamic panel data models with fixed effects: theory and application
• Automatic variable selection for semiparametric spatial autoregressive model
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• A case study on the shareholder network effect of stock market data: an SARMA approach

This page was built for publication: An efficient GMM estimator of spatial autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q737249)