An efficient GMM estimator of spatial autoregressive models

DOI10.1016/j.jeconom.2010.08.001zbMath1441.62801OpenAlexW2017981917MaRDI QIDQ737249

D. Kharzeev

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.08.001

zbMATH Keywords

efficiencyGMMQMLEspatial autoregressive modelsspatial correlated disturbances

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)

Related Items (25)

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Cites Work

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• Redundancy of moment conditions
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• CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
• GMM with Many Moment Conditions
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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