Large sample properties of the matrix exponential spatial specification with an application to FDI

DOI10.1016/j.jeconom.2015.02.046zbMath1337.62255OpenAlexW2071637199MaRDI QIDQ2354854

Fei Jin, Nicolas Debarsy, Lung-fei Lee

Publication date: 27 July 2015

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.046

zbMATH Keywords

MESSdelta methodGMMspatial autocorrelationheteroskedasticityQMLFDI

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors ⋮ QML estimation of the matrix exponential spatial specification panel data model with fixed effects and heteroskedasticity ⋮ GEL estimation and tests of spatial autoregressive models ⋮ Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix ⋮ Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models ⋮ A likelihood ratio test for spatial model selection ⋮ Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model ⋮ GMM inference in spatial autoregressive models ⋮ Unified M-estimation of matrix exponential spatial dynamic panel specification ⋮ Model selection and model averaging for matrix exponential spatial models

Uses Software

• Arc_Mat

Cites Work

• Unnamed Item
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• A matrix exponential spatial specification
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• Redundancy of moment conditions
• The Matrix-Logarithmic Covariance Model
• Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
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• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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