EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES

DOI10.1017/S0266466609090653zbMath1181.62137OpenAlexW2141030501MaRDI QIDQ5187626

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Publication date: 26 February 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466609090653

Mathematics Subject Classification ID

Related Items (32)

Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters ⋮ Estimation and testing of a higher-order partially linear spatial autoregressive model ⋮ Spatiotemporal procedures for the statistical surveillance of spatial autoregressive models with heavy tails ⋮ Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension ⋮ GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors ⋮ Refinements in maximum likelihood inference on spatial autocorrelation in panel data ⋮ Polynomial network autoregressive models with divergent orders ⋮ Automatic variable selection for semiparametric spatial autoregressive model ⋮ Estimation of nonparametric additive models with high order spatial autoregressive errors ⋮ Spatial autoregressions with an extended parameter space and similarity-based weights ⋮ Inference for partially linear additive higher-order spatial autoregressive model with spatial autoregressive error and unknown heteroskedasticity ⋮ Estimating flow data models of international trade: dual gravity and spatial interactions ⋮ Indirect inference estimation of higher-order spatial autoregressive models ⋮ SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS ⋮ Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity ⋮ ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES ⋮ Unnamed Item ⋮ Efficient GMM estimation of spatial dynamic panel data models with fixed effects ⋮ EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS ⋮ GEL estimation and tests of spatial autoregressive models ⋮ FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS ⋮ Identification and estimation of linear social interaction models ⋮ On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors ⋮ LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS ⋮ GMM estimation of social interaction models with centrality ⋮ Two-mode network autoregressive model for large-scale networks ⋮ SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS ⋮ Randomized algorithms of maximum likelihood estimation with spatial autoregressive models for large-scale networks ⋮ Estimating a spatial autoregressive model with an endogenous spatial weight matrix ⋮ Inference on higher-order spatial autoregressive models with increasingly many parameters ⋮ Efficient closed-form estimation of large spatial autoregressions ⋮ Large sample properties of the matrix exponential spatial specification with an application to FDI

Cites Work

• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• HAC estimation in a spatial framework
• The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
• Redundancy of moment conditions
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• THE AUTOREGRESSIVE MOVING AVERAGE MODEL FOR SPATIAL ANALYSIS
• Matrix Analysis
• Estimation Methods for Models of Spatial Interaction
• 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
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Generalized Least Squares with an Estimated Variance Covariance Matrix
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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