Asymptotics of improved generalized moment estimators for spatial autoregressive error models

DOI10.1080/03610926.2013.870203MaRDI QIDQ2811407zbMATH OpenOpenAlexFDO

Authors Carsten Drinkuth, Matthias Arnold

Publication date 10 June 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.870203

zbMATH Keywords

asymptotic normalityspatial autoregressionGMM estimationregression residuals

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 1261669 (Why is no real title available?)
• An improved generalized moments estimator for a spatial moving average error model
• Improved GMM estimation of the spatial autoregressive error model
• Panel data models with spatially correlated error components
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

Cited in

(4)

• Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
• Quantile regression for varying coefficient spatial error models
• Improved GMM estimation of the spatial autoregressive error model
• An improved generalized moments estimator for a spatial moving average error model

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