Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models

DOI10.1016/J.JECONOM.2016.04.019MaRDI QIDQ341908zbMATH OpenOpenAlexFDO

Authors Kai Yang, Lung-fei Lee

Publication date 17 November 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2016.04.019

zbMATH Keywords

identificationquasi-maximum likelihood estimationfull information maximum likelihood estimationmultivariate spatial autoregressionspatial simultaneous equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 3550024 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (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
• EC3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects
• Estimation Methods for Models of Spatial Interaction
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Introduction to spatial econometrics.
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

Cited in

(19)

• VPint: value propagation-based spatial interpolation
• Network Competition and Team Chemistry in the NBA
• Simultaneous Spatial Panel Data Models with Common Shocks
• EC3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects
• Multivariate spatial autoregressive model for large scale social networks
• Two-mode network autoregressive model for large-scale networks
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Scalable interpretable learning for multi-response error-in-variables regression
• SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS
• Restrictions on the autoregressive parameters of share systems with spatial dependence
• Subnetwork estimation for spatial autoregressive models in large-scale networks
• Inference in partially identified heteroskedastic simultaneous equations models
• Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
• GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
• Network Functional Varying Coefficient Model
• Grouped spatial autoregressive model
• Approximate least squares estimation for spatial autoregressive models with covariates
• Crawling subsampling for multivariate spatial autoregression model in large-scale networks
• Multivariate spatiotemporal models with low rank coefficient matrix

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Uses Software

• Arc_Mat

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