Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

DOI10.1111/j.1468-0262.2004.00558.xzbMath1142.62312OpenAlexW2071673199MaRDI QIDQ5475067

Lung-fei Lee

Publication date: 16 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2004.00558.x

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Characterization and structure theory of statistical distributions (62E10)

Related Items (only showing first 100 items - show all)

Empirical likelihood inference for the semiparametric varying-coefficient spatial autoregressive model ⋮ Variable selection of higher-order partially linear spatial autoregressive model with a diverging number of parameters ⋮ Finite sample properties of maximum likelihood estimator in spatial models ⋮ GMM and 2SLS estimation of mixed regressive, spatial autoregressive models ⋮ Spatial correlation robust inference with errors in location or distance ⋮ Panel data models with spatially correlated error components ⋮ HAC estimation in a spatial framework ⋮ The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models ⋮ A central limit theorem for endogenous locations and complex spatial interactions ⋮ Estimation of semiparametric varying-coefficient spatial autoregressive models with missing in the dependent variable ⋮ Empirical likelihood for nonparametric regression models with spatial autoregressive errors ⋮ Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large ⋮ Bayesian analysis of partially linear, single-index, spatial autoregressive models ⋮ Reduced-bias estimation of spatial autoregressive models with incompletely geocoded data ⋮ Correlation testing in time series, spatial and cross-sectional data ⋮ A test of cross section dependence for a linear dynamic panel model with regressors ⋮ Functional-coefficient spatial autoregressive models with nonparametric spatial weights ⋮ Asymptotic distribution of the OLS estimator for a mixed spatial model ⋮ Exact and higher-order properties of the MLE in spatial autoregressive models, with applications to inference ⋮ Unified \(M\)-estimation of fixed-effects spatial dynamic models with short panels ⋮ Spillover dynamics for systemic risk measurement using spatial financial time series models ⋮ Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models ⋮ Artificial regression test diagnostics for impact measures in spatial models ⋮ Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach ⋮ Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias ⋮ Adaptive inference on pure spatial models ⋮ Identification of peer effects via a root estimator ⋮ Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension ⋮ Multivariate spatial autoregressive model for large scale social networks ⋮ Refinements in maximum likelihood inference on spatial autocorrelation in panel data ⋮ Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence ⋮ A note on \(S^{2}\) in a spatially correlated error components regression model for panel data ⋮ Spatial dynamic models with intertemporal optimization: specification and estimation ⋮ Information theory estimators for the first-order spatial autoregressive model ⋮ The exact bias of \(s^2\) in linear panel regressions with spatial autocorrelation ⋮ Series estimation under cross-sectional dependence ⋮ Robust estimation and inference of spatial panel data models with fixed effects ⋮ Spatial weights matrix selection and model averaging for spatial autoregressive models ⋮ Autoregressive spatial spectral estimates ⋮ Nonparametric specification testing via the trinity of tests ⋮ Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances ⋮ Spurious spatial regression with equal weights ⋮ Identification and estimation of econometric models with group interactions, contextual factors and fixed effects ⋮ Estimation of fixed effects panel regression models with separable and nonseparable space-time filters ⋮ Adjusted QMLE for the spatial autoregressive parameter ⋮ Estimation of a SAR model with endogenous spatial weights constructed by bilateral variables ⋮ Non-nested testing of spatial correlation ⋮ GEL estimation and tests of spatial autoregressive models ⋮ Portal nodes screening for large scale social networks ⋮ Inference and testing breaks in large dynamic panels with strong cross sectional dependence ⋮ Shrinkage estimation of the linear model with spatial interaction ⋮ Spatial dynamic panel data models with interactive fixed effects ⋮ On spatial processes and asymptotic inference under near-epoch dependence ⋮ Efficient minimum distance estimation with multiple rates of convergence ⋮ Partial maximum likelihood estimation of spatial probit models ⋮ An \(O(N)\) parallel method of computing the log-Jacobian of the variable transformation for models with spatial interaction on a lattice ⋮ A note on 2SLS estimation of the mixed regressive spatial autoregressive model ⋮ Large panels with common factors and spatial correlation ⋮ Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics ⋮ Efficient estimation of the semiparametric spatial autoregressive model ⋮ Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models ⋮ GMM estimation of spatial autoregressive models with unknown heteroskedasticity ⋮ Identification and estimation of linear social interaction models ⋮ On the consistency of the LIML estimator of a spatial autoregressive model with many instruments ⋮ Maximum likelihood estimation of a spatial autoregressive Tobit model ⋮ Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances ⋮ Approximate least squares estimation for spatial autoregressive models with covariates ⋮ Estimation of spatial autoregressive panel data models with fixed effects ⋮ A SPATIAL DYNAMIC PANEL DATA MODEL WITH BOTH TIME AND INDIVIDUAL FIXED EFFECTS ⋮ Empirical likelihood for spatial autoregressive models with spatial autoregressive disturbances ⋮ An overview on econometric models for linear spatial panel data ⋮ Empirical likelihood for mixed regressive, spatial autoregressive model based on GMM ⋮ Limit theorems for network dependent random variables ⋮ A contribution to the theory and empirics of Schumpeterian growth with worldwide interactions ⋮ A spatial latent class model ⋮ Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model ⋮ A robust spatial autoregressive scalar-on-function regression with \(t\)-distribution ⋮ GMM estimation of social interaction models with centrality ⋮ An efficient GMM estimator of spatial autoregressive models ⋮ Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix ⋮ Inference with dependent data using cluster covariance estimators ⋮ Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration ⋮ Nonparametric spatial regression under near-epoch dependence ⋮ Semiparametric GMM estimation of spatial autoregressive models ⋮ Dynamic spatial panel data models with common shocks ⋮ Spatial modelling of linear regression coefficients for gauge measurements against satellite estimates ⋮ Memory properties and aggregation of spatial autoregressive models ⋮ Estimation of partially linear single-index spatial autoregressive model ⋮ One-step estimation of spatial dependence parameters: Properties and extensions of the APLE statistic ⋮ Consistency without compactness of the parameter space in spatial econometrics ⋮ Estimation of spatial autoregressive models with covariate measurement errors ⋮ Variable selection for spatial autoregressive models with a diverging number of parameters ⋮ Spatial lag test with equal weights ⋮ A blockwise network autoregressive model with application for fraud detection ⋮ A case study on the shareholder network effect of stock market data: an SARMA approach ⋮ Grouped spatial autoregressive model ⋮ Efficient closed-form estimation of large spatial autoregressions ⋮ A spatial panel quantile model with unobserved heterogeneity ⋮ Estimation of spatial sample selection models: a partial maximum likelihood approach ⋮ Higher-order least squares inference for spatial autoregressions

This page was built for publication: Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models