On the consistency of the LIML estimator of a spatial autoregressive model with many instruments

DOI10.1016/J.ECONLET.2012.04.045MaRDI QIDQ694923zbMATH OpenOpenAlexFDO

Authors M. C. Fu

Publication date 19 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.04.045

zbMATH Keywords

spatial autoregressive modelsmany instrumentslimited-information maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• scientific article; zbMATH DE number 854558 (Why is no real title available?)
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Choosing the Number of Instruments
• Consistent Estimation with a Large Number of Weak Instruments
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• GMM estimation of social interaction models with centrality
• Identification of Endogenous Social Effects: The Reflection Problem
• Many instruments asymptotic approximations under nonnormal error distributions
• On the asymptotic optimality of the LIML estimator with possibly many instruments

Cited in

(4)

• Spatial Dependence in Regressors and its Effect on Performance of Likelihood-Based and Instrumental Variable Estimators
• scientific article; zbMATH DE number 2222812 (Why is no real title available?)
• Consistency without compactness of the parameter space in spatial econometrics
• GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

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