The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models

DOI10.1016/j.jeconom.2006.09.006zbMath1418.62336OpenAlexW2146281586MaRDI QIDQ280272

Lung-fei Lee

Publication date: 9 May 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.09.006

zbMATH Keywords

asymptotic efficiencyspatial econometricsmethod of elimination and substitutionsequential GMM estimationspatial autoregression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Information theory estimators for the first-order spatial autoregressive model ⋮ Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances ⋮ GMM estimation of spatial autoregressive models with unknown heteroskedasticity ⋮ Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances ⋮ EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES ⋮ GMM estimation of social interaction models with centrality ⋮ GMM inference in spatial autoregressive models

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• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Econometrics
• Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach.
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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