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GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity

Liu, Xiaodong; Saraiva, Paulo - In: Econometric reviews 38 (2019) 4, pp. 359-385

Persistent link: https://www.econbiz.de/10012181305

Outer-product-of-gradients tests for spatial autoregressive models

Jin, Fei; Lee, Lung-fei - In: Regional science & urban economics 72 (2018), pp. 35-57

Persistent link: https://www.econbiz.de/10012108383

GMM estimation of spatial autoregressive models with unknown heteroskedasticity

Lin, Xu; Lee, Lung-fei - In: Journal of econometrics 157 (2010) 1, pp. 34-52

Persistent link: https://www.econbiz.de/10008661869

Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances

Jin, Fei; Lee, Lung-fei - In: Economics letters 194 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012509367

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

Continuously updated indirect inference in heteroskedastic spatial models

Kyriacou, Maria; Phillips, Peter C. B.; Rossi, Francesca - 2019

Persistent link: https://www.econbiz.de/10012131981

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 … substantial amount of bias on both autoregressive and moving average parameters. …

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

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

Yokoi, Takahisa - 2010

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....

Persistent link: https://www.econbiz.de/10012171653

Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects

Sun, Yiguo; Malikov, Emir - In: Journal of econometrics 203 (2018) 2, pp. 359-378

Persistent link: https://www.econbiz.de/10011974689

Functional-coefficient spatial autoregressive models with nonparametric spatial weights

Sun, Yiguo - In: Journal of econometrics 195 (2016) 1, pp. 134-153

Persistent link: https://www.econbiz.de/10011705245