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

Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of econometrics 157 (2010) 1, pp. 53-67

Persistent link: https://www.econbiz.de/10008661866

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

Kelejian, Harry H. (contributor); … - 2008

theory is kept general to cover a wide range of settings. We note the estimation theory developed by Kelejian and Prucha …-stage least squares ; generalized moments estimation ; asymptotics …

Persistent link: https://www.econbiz.de/10003790570

A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results

Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008

heteroskedastic with an unknown form. We formulate a multi-step GMM/IV type estimation procedure for the parameters of the model. We …

Persistent link: https://www.econbiz.de/10003792846

A spatial Cliff-Ord-type model with heteroskedastic innovations : small and large sample results

Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - In: Journal of regional science 50 (2010) 2, pp. 592-614

Persistent link: https://www.econbiz.de/10003974238

Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - 2011

Persistent link: https://www.econbiz.de/10009546961

Estimating and forecasting with a dynamic spatial panel data model

Baltagi, Badi H.; Fingleton, Bernard; Pirotte, Alain - In: Oxford bulletin of economics and statistics 76 (2014) 1, pp. 112-138

Persistent link: https://www.econbiz.de/10010439610

GMM estimation of spatial panel data models with common factors and a general space-time filter

Wang, Wei; Lee, Lung-fei - In: Spatial economic analysis : the journal of the Regional … 13 (2018) 2, pp. 247-269

Persistent link: https://www.econbiz.de/10011870750

Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal But Heteroskedastic Disturbances

Yokoi, Takahisa - 2010

derived [Anselin (1988, ch.6)], but there is no implementation of maximum likelihood estimation for these likelihood functions … estimation of heteroskedastic models that also utilizes multiple spatial weight matrices and confirm the efficiency of the …

Persistent link: https://www.econbiz.de/10014194202

Modified QML estimation of spatial autoregressive models with unknown heteroskedasticity and nonnormality

Liu, Shew Fan; Yang, Zhenlin - In: Regional science & urban economics 52 (2015), pp. 50-70

Persistent link: https://www.econbiz.de/10011478986

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics : open access journal 3 (2015) 1, pp. 101-127

estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I …

Persistent link: https://www.econbiz.de/10011290741