Narrow search
Showing 1 - 10 of 662,344
Cover Image
Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Kelejian, Harry H.; Prucha, Ingmar R. - CESifo - 2008
unknown heteroskedasticity in the innovations. We first generalize the generalized moments (GM) estimator suggested in …
Persistent link: https://www.econbiz.de/10005766296
Cover Image
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
and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …
Persistent link: https://www.econbiz.de/10011290741
Cover Image
A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10003792846
Cover Image
GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances
Badinger, Harald; Egger, Peter - 2008
This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...
Persistent link: https://www.econbiz.de/10010264403
Cover Image
A Spatial Cliff-Ord-Type Model with Heteroskedastic Innovations : Small and Large Sample Results
Arraiz, Irani - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10012768262
Cover Image
GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Dogan, Osman; Taspinar, Suleyman - 2013
with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for … spatial autoregressive models is generally inconsistent when heteroskedasticity is not taken into account in the estimation …
Persistent link: https://www.econbiz.de/10014160295
Cover Image
A spatial Cliff-ord-type model with heteroskedastic innovations: small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10010264508
Cover Image
Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H. (contributor);  … - 2008
unknown heteroskedasticity in the innovations. We first generalize the generalized moments (GM) estimator suggested in … discussion of the usual specification of the parameter space. -- Spatial dependence ; heteroskedasticity ; Cliff-Ord model ; two …-stage least squares ; generalized moments estimation ; asymptotics …
Persistent link: https://www.econbiz.de/10003790570
Cover Image
Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Kelejian, Harry H. - 2008
unknown heteroskedasticity in the innovations. We first generalize the generalized moments (GM) estimator suggested in …
Persistent link: https://www.econbiz.de/10012768815
Cover Image
Fixed effects and random effects estimation of higher-order spatial autoregressive models with spatial autoregressive and heteroskedastic disturbances
Badinger, Harald; Egger, Peter - 2014
panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error … heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random …
Persistent link: https://www.econbiz.de/10010367382