Efficient estimation of the semiparametric spatial autoregressive model

DOI10.1016/J.JECONOM.2009.10.031zbMATH Open1431.62417OpenAlexW2149504484MaRDI QIDQ530965FDOQ530965

Authors: Peter M. Robinson 

Publication date: 1 August 2016

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

Full work available at URL: http://eprints.lse.ac.uk/4535/

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zbMATH Keywords

spatial autoregressionefficient estimationadaptive estimationsimultaneity bias

Mathematics Subject Classification ID

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

Cites Work

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• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
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• Spatial econometrics. Statistical foundations and applications to regional convergence.
• Adaptive maximum likelihood estimators of a location parameter
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• Adaptive estimates for autoregressive processes

Cited In (43)

• Spatial dependence in option observation errors
• A good approximation of the Gaussian likelihood of simultaneous autoregressive model which yields us an asymptotically efficient estimate of parameters
• Efficient closed-form estimation of large spatial autoregressions
• QML estimation of dynamic panel data models with spatial errors
• QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
• Estimation of spatial autoregressions with stochastic weight matrices
• Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models
• Title not available (Why is that?)
• A semiparametric spatial dynamic model
• Fast and scalable computations for Gaussian hierarchical models with intrinsic conditional autoregressive spatial random effects
• Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
• Semiparametric GMM estimation of spatial autoregressive models
• Automatic variable selection for semiparametric spatial autoregressive model
• Scalable semiparametric spatio-temporal regression for large data analysis
• Testing spatial dynamic panel data models with heterogeneous spatial and regression coefficients
• Specification Test for Spatial Autoregressive Models
• Nonparametric spatial regression with spatial autoregressive error structure
• An efficient GMM estimator of spatial autoregressive models
• Functional-coefficient spatial autoregressive models with nonparametric spatial weights
• Semiparametric estimation of censored spatial autoregressive models
• New testing approaches for mean-variance predictability
• Variable selection for spatial autoregressive models
• Semiparametric modelling of spatial binary observations
• A general method for third-order bias and variance corrections on a nonlinear estimator
• Estimating efficiency in a spatial autoregressive stochastic frontier model
• Optimum property of estimating function for spatial autoregressive models
• Some new estimators in spatial econometrics
• Estimation in semiparametric spatial regression
• Adaptive inference on pure spatial models
• On the asymptotics of maximum likelihood estimation for spatial linear models on a lattice
• Semi-functional partial linear spatial autoregressive model
• GMM estimation of nonparametric spatial lag model
• Efficient estimation of nonparametric spatial models with general correlation structures
• Non-nested testing of spatial correlation
• On spatial processes and asymptotic inference under near-epoch dependence
• Nonparametric spatial regression under near-epoch dependence
• Semiparametric estimation of spatial autoregressive smooth-coefficient panel stochastic frontier models
• A note on efficient simulation of multidimensional spatial autoregressive processes
• Nonparametric specification testing via the trinity of tests
• Inference on higher-order spatial autoregressive models with increasingly many parameters
• Efficient estimation for the conditional autoregressive model
• Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
• Asymptotic properties of the estimators of the semi-parametric spatial regression model

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