The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...

We investigate the finite-sample bias of the quasi-maximum likelihood estimator (QMLE) in spatial autoregressive models with possible exogenous regressors. We derive the approximate bias result of the QMLE in terms of model parameters and also the moments (up to order 4) of the error...

We study the properties of the multi-period-ahead least-squares forecast for the stationary AR(1) model under a general error distribution. We find that the forecast is unbiased up to O(T^(−1)), where T is the in-sample size, regardless of the error distribution and that the mean squared...