Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models

DOI10.1016/J.JECONOM.2016.04.019zbMath1443.62310OpenAlexW2530124015MaRDI QIDQ341908

Kai Yang, Lung-fei Lee

Publication date: 17 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.019

zbMATH Keywords

identificationquasi-maximum likelihood estimationfull information maximum likelihood estimationmultivariate spatial autoregressionspatial simultaneous equations

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 (14)

Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration ⋮ Multivariate spatial autoregressive model for large scale social networks ⋮ Network Functional Varying Coefficient Model ⋮ SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS ⋮ Scalable interpretable learning for multi-response error-in-variables regression ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Subnetwork estimation for spatial autoregressive models in large-scale networks ⋮ Inference in partially identified heteroskedastic simultaneous equations models ⋮ Crawling subsampling for multivariate spatial autoregression model in large-scale networks ⋮ Approximate least squares estimation for spatial autoregressive models with covariates ⋮ Two-mode network autoregressive model for large-scale networks ⋮ VPint: value propagation-based spatial interpolation ⋮ GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity ⋮ Grouped spatial autoregressive model

Uses Software

• Arc_Mat

Cites Work

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• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Estimation Methods for Models of Spatial Interaction
• Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects
• On the asymptotic distribution of the Moran \(I\) test stastistic with applications

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