Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix

DOI10.1016/J.ECONLET.2021.110090zbMath1476.62203OpenAlexW3201235373MaRDI QIDQ2236294

Kai Yang, Wei Kong

Publication date: 22 October 2021

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.110090

zbMATH Keywords

estimation efficiencygeneralized method of momentendogenous spatial weights matrix

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• QML estimation of spatial dynamic panel data models with endogenous time varying spatial weights matrices
• On spatial processes and asymptotic inference under near-epoch dependence
• An efficient GMM estimator of spatial autoregressive models
• Redundancy of moment conditions
• Estimating a spatial autoregressive model with an endogenous spatial weight matrix
• Large sample properties of the matrix exponential spatial specification with an application to FDI

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