On the consistency of the LIML estimator of a spatial autoregressive model with many instruments

DOI10.1016/j.econlet.2012.04.045zbMath1255.62267OpenAlexW2068067777MaRDI QIDQ694923

M. C. Fu

Publication date: 19 December 2012

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.04.045

zbMATH Keywords

many instrumentsspatial autoregressive modelslimited-information maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (1)

GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors

Cites Work

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• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• On the asymptotic optimality of the LIML estimator with possibly many instruments
• GMM estimation of social interaction models with centrality
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• MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Choosing the Number of Instruments
• Consistent Estimation with a Large Number of Weak Instruments
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

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