GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity
DOI10.1080/07474938.2017.1308087zbMath1490.62463OpenAlexW2598054145MaRDI QIDQ5860923
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Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2017.1308087
simultaneous equationsspatial autoregressive modelsunknown heteroskedasticityquadratic moment conditions
Asymptotic properties of parametric estimators (62F12) 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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Cites Work
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- Large Sample Properties of Generalized Method of Moments Estimators
- Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
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- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Redundancy of moment conditions
- Estimation of simultaneous systems of spatially interrelated cross sectional equations.
- Identification of Endogenous Social Effects: The Reflection Problem
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