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

DOI10.1016/J.CSDA.2015.02.003MaRDI QIDQ1663316zbMATH OpenOpenAlexFDO

Authors Dalei Yu, Peng Bai, Chang Ding

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

adjusted quasi-maximum likelihood estimatordegrees of freedom lossmixed regressivesmall sample biasspatial autoregressive

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) 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

• A note on the existence and uniqueness of quasi-maximum likelihood estimators for mixed regressive, spatial autoregression models
• Adjustment of the profile likelihood for a class of normal regression models
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Estimation Methods for Models of Spatial Interaction
• Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference
• Finite sample properties of maximum likelihood estimator in spatial models
• Finite-sample bias of the QMLE in spatial autoregressive models
• Forecasting with spatial panel data
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• scientific article; zbMATH DE number 4180557 (Why is no real title available?)
• Linear and generalized linear mixed models and their applications.
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Maximum likelihood estimation of spatially and serially correlated panels with random effects
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and T are large
• The asymptotic distribution of REML estimators

Cited in

(7)

• Robust estimation and confidence interval in meta-regression models
• Adjusted QMLE for the spatial autoregressive parameter
• Asymptotic normality of residual density estimator in stationary and explosive autoregressive models
• Finite-sample bias of the QMLE in spatial autoregressive models
• Quantile regression for varying coefficient spatial error models
• The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers
• Unified Optimal Model Averaging with a General Loss Function based on Cross-Validation

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