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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of Econometrics 157 (2010) 1, pp. 53-67

This study develops a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator...

Persistent link: https://www.econbiz.de/10008494728

HAC estimation in a spatial framework

Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of Econometrics 140 (2007) 1, pp. 131-154

Persistent link: https://www.econbiz.de/10005285814

Estimation of simultaneous systems of spatially interrelated cross sectional equations

Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of Econometrics 118 (2004) 1-2, pp. 27-50

Persistent link: https://www.econbiz.de/10005228624

A note concerning specifications of interactive random-coefficient regression models

Gatto, Joseph P.; Kelejian, Harry H.; Stephan, Scott W. - In: Journal of Econometrics 47 (1991) 2-3, pp. 273-284

Persistent link: https://www.econbiz.de/10005238952

Panel data models with spatially correlated error components

Kapoor, Mudit; Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of Econometrics 140 (2007) 1, pp. 97-130

Persistent link: https://www.econbiz.de/10005239077

Analysis of spatially dependent data

Baltagi, Badi H.; Kelejian, Harry H.; Prucha, Ingmar R. - In: Journal of Econometrics 140 (2007) 1, pp. 1-4

Persistent link: https://www.econbiz.de/10005239081

An extension of a standard test for heteroskedasticity to a systems framework

Kelejian, Harry H. - In: Journal of Econometrics 20 (1982) 2, pp. 325-333

Persistent link: https://www.econbiz.de/10005052691