The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models

DOI10.1016/J.JECONOM.2006.09.006MaRDI QIDQ280272zbMATH OpenOpenAlexFDO

Authors Lung-fei Lee

Publication date 9 May 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2006.09.006

zbMATH Keywords

spatial autoregressionasymptotic efficiencyspatial econometricsmethod of elimination and substitutionsequential GMM estimation

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 3550043 (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
• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• Econometrics
• Estimation Methods for Models of Spatial Interaction
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Large Sample Properties of Generalized Method of Moments Estimators
• Matrix Analysis
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications
• Sparse spatial autoregressions

Cited in

(10)

• Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances
• Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
• A combined moment equation approach for spatial autoregressive models
• GMM inference in spatial autoregressive models
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• GMM estimation of social interaction models with centrality
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Information theory estimators for the first-order spatial autoregressive model
• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

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