FINITE-SAMPLE BIAS OF THE QMLE IN SPATIAL AUTOREGRESSIVE MODELS

DOI10.1017/S0266466612000229zbMath1261.91037MaRDI QIDQ4917230

Yong Bao

Publication date: 29 April 2013

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (11)

CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS ⋮ Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference ⋮ REFINED TESTS FOR SPATIAL CORRELATION ⋮ Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias ⋮ Saddlepoint Approximations for Spatial Panel Data Models ⋮ Adjusted QMLE for the spatial autoregressive parameter ⋮ EXACT LIKELIHOOD INFERENCE IN GROUP INTERACTION NETWORK MODELS ⋮ Bias in the estimation of mean reversion in continuous-time Lévy processes ⋮ On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators ⋮ A general method for third-order bias and variance corrections on a nonlinear estimator ⋮ Higher-order least squares inference for spatial autoregressions

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