Efficient maximum likelihood estimation of spatial autoregressive models with normal but heteroskedastic disturbances

Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases. This is the reason why less efficient IV-based methods, 'robust 2-SLS' estimation for example, must be applied when disturbance terms may be heteroskedastic. In this paper, we develop a new computer program for maximum likelihood estimation and confirm the efficiency of our estimator in heteroskedastic disturbance cases using Monte Carlo simulations.