An improved generalized moments estimator for a spatial moving average error model

DOI10.1016/j.econlet.2011.08.015zbMath1274.62560OpenAlexW2038252325MaRDI QIDQ427120

Long Liu, Badi H. Baltagi

Publication date: 13 June 2012

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.08.015

zbMATH Keywords

method of moments estimationregression residualsspatial moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Non-Markovian processes: estimation (62M09)

Related Items (2)

Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Asymptotics of improved generalized moment estimators for spatial autoregressive error models

Cites Work

• Improved GMM estimation of the spatial autoregressive error model
• A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
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