Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix

DOI10.1016/J.ECONLET.2021.110090MaRDI QIDQ2236294zbMATH OpenOpenAlexFDO

Authors Wei Kong, Kai Yang

Publication date 22 October 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2021.110090

zbMATH Keywords

endogenous spatial weights matrixestimation efficiencygeneralized method of moment

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cites work

• An efficient GMM estimator of spatial autoregressive models
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• Large sample properties of the matrix exponential spatial specification with an application to FDI
• On spatial processes and asymptotic inference under near-epoch dependence
• QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices
• Redundancy of moment conditions

Cited in

(15)

• Spatial weights matrix selection and model averaging for spatial autoregressive models
• Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
• Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• Estimation and inference in spatial models with dominant units
• The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
• A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
• An improved generalized moments estimator for a spatial moving average error model
• On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
• Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances
• Optimum property of estimating function for spatial autoregressive models
• Spatial semiparametric model with endogenous regressors
• Estimation and variable selection for quantile regression of high-dimensional spatial dependent data with endogenous spatial weight matrix
• An efficient GMM estimator of spatial autoregressive models
• Improved GMM estimation of the spatial autoregressive error model

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