GMM estimation of spatial autoregressive models with unknown heteroskedasticity

DOI10.1016/j.jeconom.2009.10.035zbMath1431.62399OpenAlexW2112531842MaRDI QIDQ530968

Lung-fei Lee, Xu Lin

Publication date: 1 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.035

zbMATH Keywords

robustnessGMMspatial autoregressionconsistent covariance matrixunknown heteroskedasticity

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)

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