GMM estimation of spatial autoregressive models with unknown heteroskedasticity
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Publication:530968
DOI10.1016/J.JECONOM.2009.10.035zbMATH Open1431.62399OpenAlexW2112531842MaRDI QIDQ530968FDOQ530968
Authors: Xu Lin, Lung-fei Lee 
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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)
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Cited In (76)
- Threshold effect in varying coefficient models with unknown heteroskedasticity
- QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
- Simultaneous Spatial Panel Data Models with Common Shocks
- 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
- GMM estimation and variable selection of partially linear additive spatial autoregressive model
- Rank-based instrumental variable estimation for semiparametric varying coefficient spatial autoregressive models
- Statistical inference of partially linear spatial autoregressive model under constraint conditions
- Automatic variable selection for semiparametric spatial autoregressive model
- CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS
- Specification Test for Spatial Autoregressive Models
- Estimation and bootstrapping under spatiotemporal models with unobserved heterogeneity
- Distributed estimation and inference for spatial autoregression model with large scale networks
- Network Competition and Team Chemistry in the NBA
- Estimation of Matrix Exponential Unbalanced Panel Data Models with Fixed Effects: An Application to US Outward FDI Stock
- Profile quasi-maximum likelihood estimation for semiparametric varying-coefficient spatial autoregressive panel models with fixed effects
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- Who is the Key Player? A Network Analysis of Juvenile Delinquency
- A semiparametric dynamic higher-order spatial autoregressive model
- A Structural‐Factor Approach to Modeling High‐Dimensional Time Series and Space‐Time Data
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- A Monte Carlo comparison of GMM and QMLE estimators for short dynamic panel data models with spatial errors
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- On the bootstrap for Moran's \(I\) test for spatial dependence
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- GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
- Testing a linear relationship in varying coefficient spatial autoregressive models
- Estimation and inference in spatial models with dominant units
- LM tests of spatial dependence based on bootstrap critical values
- Variable selection with spatially autoregressive errors: a generalized moments Lasso estimator
- Variable selection of partially linear varying coefficient spatial autoregressive model
- Estimation and testing of a higher-order partially linear spatial autoregressive model
- FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS
- GMM estimation of partially linear additive spatial autoregressive model
- Robust estimation and inference of spatial panel data models with fixed effects
- Spatial dynamic panel data models with interactive fixed effects
- Multivariate spatial autoregressive model for large scale social networks
- Penalized profile quasi-maximum likelihood method of partially linear spatial autoregressive model
- GMM estimation of social interaction models with centrality
- Spatial autoregressions with an extended parameter space and similarity-based weights
- Subnetwork estimation for spatial autoregressive models in large-scale networks
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