GMM estimation of spatial autoregressive models with unknown heteroskedasticity
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Cites work
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A Simple Test for Heteroscedasticity and Random Coefficient Variation
- 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
- Estimation Methods for Models of Spatial Interaction
- Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
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- Identification and estimation of econometric models with group interactions, contextual factors and fixed effects
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications
- Specification Tests in Econometrics
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
- The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models
Cited in
(76)- GMM estimation of partially linear additive spatial autoregressive model
- Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters
- Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
- Multivariate spatial autoregressive model for large scale social networks
- Nonparametric identification of the spatial autoregression model under a priori stochastic uncertainty
- Statistical inference of partially specified spatial autoregressive model
- Dynamic spatial panel data models with common shocks
- Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
- GMM inference in spatial autoregressive models
- Computational aspects of the EM algorithm for spatial econometric models with missing data
- Finite-sample bias of the QMLE in spatial autoregressive models
- Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables
- Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models
- A general framework for spatial GARCH models
- GMM estimation of social interaction models with centrality
- A spatial panel quantile model with unobserved heterogeneity
- Robust estimation and inference of spatial panel data models with fixed effects
- Information theory estimators for the first-order spatial autoregressive model
- Spatial autoregressions with an extended parameter space and similarity-based weights
- Social threshold regression
- LM tests of spatial dependence based on bootstrap critical values
- Bayesian analysis of partially linear, single-index, spatial autoregressive models
- An efficient GMM estimator of spatial autoregressive models
- Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect
- Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
- Statistical inference on the parametric component in partially linear spatial autoregressive models
- Subnetwork estimation for spatial autoregressive models in large-scale networks
- Indirect inference estimation of higher-order spatial autoregressive models
- Penalized profile quasi-maximum likelihood method of partially linear spatial autoregressive model
- Variable selection of partially linear varying coefficient spatial autoregressive model
- Estimation and testing of a higher-order partially linear spatial autoregressive model
- Semiparametric GMM estimation of spatial autoregressive models
- A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
- Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
- Spatial weights matrix selection and model averaging for spatial autoregressive models
- Nonparametric spatial regression with spatial autoregressive error structure
- GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
- Spatial dynamic panel data models with interactive fixed effects
- Testing a linear relationship in varying coefficient spatial autoregressive models
- Efficient closed-form estimation of large spatial autoregressions
- Panel data partially linear model with fixed effects, spatial autoregressive error components and unspecified intertemporal correlation
- On two-step estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
- Estimating flow data models of international trade: dual gravity and spatial interactions
- Banded spatio-temporal autoregressions
- GEL estimation and tests of spatial autoregressive models
- Common factors and spatial dependence: an application to US house prices
- On the bootstrap for Moran's \(I\) test for spatial dependence
- Large sample properties of the matrix exponential spatial specification with an application to FDI
- Estimation of fixed effects panel regression models with separable and nonseparable space-time filters
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
- Randomized algorithms of maximum likelihood estimation with spatial autoregressive models for large-scale networks
- A spatial autoregressive model with a nonlinear transformation of the dependent variable
- Estimating a spatial autoregressive model with an endogenous spatial weight matrix
- QML estimation of dynamic panel data models with spatial errors
- Estimation and inference in spatial models with dominant units
- Estimation of spatial autoregressive panel data models with fixed effects
- Network Competition and Team Chemistry in the NBA
- QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
- Simultaneous Spatial Panel Data Models with Common Shocks
- Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock
- CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
- Who is the Key Player? A Network Analysis of Juvenile Delinquency
- A semiparametric dynamic higher-order spatial autoregressive model
- GMM estimation and variable selection of partially linear additive spatial autoregressive model
- Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models
- Specification Test for Spatial Autoregressive Models
- GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
- Sequential and efficient GMM estimation of dynamic short panel data models
- Statistical inference of partially linear spatial autoregressive model under constraint conditions
- Profile quasi-maximum likelihood estimation for semiparametric varying-coefficient spatial autoregressive panel models with fixed effects
- Threshold effect in varying coefficient models with unknown heteroskedasticity
- scientific article; zbMATH DE number 7608539 (Why is no real title available?)
- A structural-factor approach to modeling high-dimensional time series and space-time data
- Automatic variable selection for semiparametric spatial autoregressive model
- Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity
- Distributed estimation and inference for spatial autoregression model with large scale networks
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