Performance contest between MLE and GMM for huge spatial autoregressive models

DOI10.1080/10629360600954109MaRDI QIDQ5457931zbMATH OpenOpenAlexFDO

Authors Mario Larch, G. Tappeiner, Janette F. Walde

Publication date 10 April 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360600954109

zbMATH Keywords

maximum likelihoodgeneralized method of momentsspatial statisticsJacobianspatial auto-correlation

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12)

Recommendations

• Faster maximum likelihood estimation of very large spatial autoregressive models: an extension of the Smirnov–Anselin result
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• Estimation of spatial autoregressive models with measurement error for large data sets
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples

Cites work

• scientific article; zbMATH DE number 3816913 (Why is no real title available?)
• scientific article; zbMATH DE number 3965276 (Why is no real title available?)
• scientific article; zbMATH DE number 1063691 (Why is no real title available?)
• Advances in spatial econometrics. Methodology, tools and applications.
• Approximations to the determinant term in gaussian maximum likelihood estimation of some spatial models
• Chebyshev approximation of log-determinants of spatial weight matrices
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Estimation Methods for Models of Spatial Interaction
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• Monte Carlo estimates of the log determinant of large sparse matrices
• Sparse spatial autoregressions
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

Cited in

(7)

• An \(O(N)\) parallel method of computing the log-Jacobian of the variable transformation for models with spatial interaction on a lattice
• Robust estimation approach for spatial error model
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• Fitting spatial regressions to large datasets using unilateral approximations
• Large sample properties of the matrix exponential spatial specification with an application to FDI
• Faster maximum likelihood estimation of very large spatial autoregressive models: an extension of the Smirnov–Anselin result
• Markov chain Monte Carlo estimation of spatial dynamic panel models for large samples

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Uses Software

• symrcm

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