Finite sample properties of maximum likelihood estimator in spatial models

DOI10.1016/j.jeconom.2005.08.006zbMath1360.62474OpenAlexW1966527279MaRDI QIDQ276919

Aman Ullah, Yong Bao

Publication date: 4 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.08.006

zbMATH Keywords

mean squared errorbiasspatial autoregressive model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

On skewness and kurtosis of econometric estimators, Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference, REFINED TESTS FOR SPATIAL CORRELATION, Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias, Refinements in maximum likelihood inference on spatial autocorrelation in panel data, Estimating flow data models of international trade: dual gravity and spatial interactions, The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers, Saddlepoint Approximations for Spatial Panel Data Models, Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model, Adjusted QMLE for the spatial autoregressive parameter, FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS, Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances, Expectation of quadratic forms in normal and nonnormal variables with applications, On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors, Robust estimation and confidence interval in meta-regression models, Bias-correction for Weibull common shape estimation, Memory properties and aggregation of spatial autoregressive models, Partial ML estimation for spatial autoregressive nonlinear probit models with autoregressive disturbances, EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects, A general method for third-order bias and variance corrections on a nonlinear estimator, Higher-order least squares inference for spatial autoregressions

Cites Work

• Unnamed Item
• Unnamed Item
• The second-order bias and mean squared error of nonlinear estimators
• Invariant polynomials with two matrix arguments extending the zonal polynomials: Applications to multivariate distribution theory
• On the construction of a class of invariant polynomials in several matrices, extending the zonal polynomials
• On the expectation of a ratio of quadratic forms in normal variables
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• Estimation Methods for Models of Spatial Interaction
• The moments of products of quadratic forms in normal variables
• The expectation of products of quadratic forms in normal variables: the practice
• EXPECTATIONS OF RATIOS OF QUADRATIC FORMS IN NORMAL VARIABLES: EVALUATING SOME TOP‐ORDER INVARIANT POLYNOMIALS
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models