GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity

DOI10.1080/07474938.2017.1308087zbMath1490.62463OpenAlexW2598054145MaRDI QIDQ5860923

No author found.

Publication date: 4 March 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2017.1308087

zbMATH Keywords

simultaneous equationsspatial autoregressive modelsunknown heteroskedasticityquadratic moment conditions

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 (3)

SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS ⋮ Simultaneous Spatial Panel Data Models with Common Shocks ⋮ Distributed estimation and inference for spatial autoregression model with large scale networks

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Redundancy of moment conditions
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Identification of Endogenous Social Effects: The Reflection Problem

This page was built for publication: GMM estimation of spatial autoregressive models in a system of simultaneous equations with heteroskedasticity