An efficient GMM estimator of spatial autoregressive models
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Publication:737249
DOI10.1016/J.JECONOM.2010.08.001zbMATH Open1441.62801OpenAlexW2017981917MaRDI QIDQ737249FDOQ737249
Authors: 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
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Applications of statistics to economics (62P20)
Cites Work
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- Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
- CONSISTENCY AND EFFICIENCY OF LEAST SQUARES ESTIMATION FOR MIXED REGRESSIVE, SPATIAL AUTOREGRESSIVE MODELS
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications
- Redundancy of moment conditions
- GMM with Many Moment Conditions
- Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
- Efficient estimation of the semiparametric spatial autoregressive model
Cited In (35)
- A combined moment equation approach for spatial autoregressive models
- Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix
- Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
- GEL estimation and tests of spatial autoregressive models
- Estimating a spatial autoregressive model with an endogenous spatial weight matrix
- QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units
- GMM inference in spatial autoregressive models
- Spatial weights matrix selection and model averaging for spatial autoregressive models
- Fast and scalable computations for Gaussian hierarchical models with intrinsic conditional autoregressive spatial random effects
- Semiparametric GMM estimation of spatial autoregressive models
- Large sample properties of the matrix exponential spatial specification with an application to FDI
- Automatic variable selection for semiparametric spatial autoregressive model
- A general framework for spatial GARCH models
- Empirical likelihood for mixed regressive, spatial autoregressive model based on GMM
- Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables
- Improved GMM estimation of the spatial autoregressive error model
- Specification Test for Spatial Autoregressive Models
- Indirect inference estimation of higher-order spatial autoregressive models
- Asymptotics of improved generalized moment estimators for spatial autoregressive error models
- Empirical likelihood for spatial autoregressive models with spatial autoregressive disturbances
- Statistical Inference on the Parametric Component in Partially Linear Spatial Autoregressive Models
- Moment redundancy test with application to efficiency-improving copulas
- Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
- Efficient GMM estimation of high order spatial autoregressive models with autoregressive disturbances
- Adaptive inference on pure spatial models
- Efficient GMM estimation of spatial dynamic panel data models with fixed effects
- GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
- Testing a linear relationship in varying coefficient spatial autoregressive models
- Varying-coefficient spatial dynamic panel data models with fixed effects: theory and application
- The GMM estimation of semiparametric spatial stochastic frontier models
- A note on efficient simulation of multidimensional spatial autoregressive processes
- GMM estimation of partially linear additive spatial autoregressive model
- Empirical likelihood and GMM for spatial models
- Semiparametric estimation and testing of smooth coefficient spatial autoregressive models
- A case study on the shareholder network effect of stock market data: an SARMA approach
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