Consistency without compactness of the parameter space in spatial econometrics

DOI10.1016/j.econlet.2021.110224zbMath1480.91151OpenAlexW4200551445MaRDI QIDQ2069998

Tuo Liu, Xingbai Xu, Lung-fei Lee

Publication date: 21 January 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110224

zbMATH Keywords

MLEspatial autoregressive modelnon-compact parameter spaceconcave log-likelihoodspatial autoregressive tobit model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Spatial models in economics (91B72)

Cites Work

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• Maximum likelihood estimation of a spatial autoregressive Tobit model
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Spatial dynamic panel data models with interactive fixed effects
• Asymptotic theory of nonlinear least squares estimation
• An MCMC approach to classical estimation.
• A likelihood ratio test for spatial model selection
• A spatial autoregressive model with a nonlinear transformation of the dependent variable
• Uniform Convergence in Probability and Stochastic Equicontinuity
• Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model
• Nonlinear Regressions with Integrated Time Series
• ESTIMATION OF SPATIAL AUTOREGRESSIONS WITH STOCHASTIC WEIGHT MATRICES
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

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