Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

DOI10.1016/j.jeconom.2009.10.025zbMath1431.62636OpenAlexW3121675824WikidataQ33923231 ScholiaQ33923231MaRDI QIDQ71369

Ingmar R. Prucha, Harry H. Kelejian, Ingmar R. Prucha, Harry H. Kelejian

Publication date: July 2010

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2888178

zbMATH Keywords

asymptoticsspatial dependenceheteroskedasticitytwo-stage least squaresCliff-Ord modelgeneralized moments estimation

Mathematics Subject Classification ID

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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