Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances

DOI10.1016/j.econlet.2020.109397zbMath1452.62609OpenAlexW3042132507MaRDI QIDQ2208849

Lung-fei Lee, Fei Jin

Publication date: 4 November 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2020.109397

zbMATH Keywords

efficiencyheteroskedasticityspatial autoregressionroot estimator

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• An efficient GMM estimator of spatial autoregressive models
• Estimation Methods for Models of Spatial Interaction
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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