Quasi maximum likelihood estimation for simultaneous spatial autoregressive models

This paper considers the problem of estimating a simultaneous spatial autoregressive model (SSAR). We propose using the quasi maximum likelihood method to estimate the model. The asymptotic properties of the maximum likelihood estimator including consistency and limiting distribution are investigated. We also run Monte Carlo simulations to examine the finite sample performance of the maximum likelihood estimator.

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Year of publication:	2014-11
Authors:	Wang, Luya ; Li, Kunpeng ; Wang, Zhengwei
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Simultaneous equations model \| Spatial autoregressive model \| Maximum likelihood estimation \| Asymptotic theory

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C31 - Cross-Sectional Models; Spatial Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011113471