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

DOI10.1016/J.ECONLET.2012.04.045zbMATH Open1255.62267OpenAlexW2068067777MaRDI QIDQ694923FDOQ694923

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

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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)

Cites Work

• Choosing the Number of Instruments
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Title not available (Why is that?)
• Title not available (Why is that?)
• Consistent Estimation with a Large Number of Weak Instruments
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• Identification of Endogenous Social Effects: The Reflection Problem
• Many instruments asymptotic approximations under nonnormal error distributions
• GMM estimation of social interaction models with centrality

Cited In (4)

• Spatial Dependence in Regressors and its Effect on Performance of Likelihood-Based and Instrumental Variable Estimators
• Title not available (Why is that?)
• GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
• Consistency without compactness of the parameter space in spatial econometrics

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