Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference

DOI10.1016/j.jeconom.2018.01.008zbMath1452.62646OpenAlexW2785022523MaRDI QIDQ1644254

Grant Hillier, Federico Martellosio

Publication date: 21 June 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://epubs.surrey.ac.uk/845655/1/MLE_SAR_2017_Final.pdf

zbMATH Keywords

confidence intervalsmaximum likelihood estimationcomplete bipartite graphsocial networksspatial autoregressionsaddlepointgroup interaction

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Social networks; opinion dynamics (91D30) Nonparametric tolerance and confidence regions (62G15)

Related Items

Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias, Saddlepoint Approximations for Spatial Panel Data Models, Adjusted QMLE for the spatial autoregressive parameter, Approximate least squares estimation for spatial autoregressive models with covariates

Uses Software

• Arc_Mat

Cites Work

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