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GEL estimation and tests of spatial autoregressive models
Jin, Fei; Lee, Lung-fei - In: Journal of econometrics 208 (2019) 2, pp. 585-612
Persistent link: https://www.econbiz.de/10012149371
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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Kelejian, Harry H. (contributor);  … - 2008
efficiency. We then define instrumental variable (IV) estimators for the regression parameters of the model and give results …
Persistent link: https://www.econbiz.de/10003790570
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A spatial Cliff-ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008
heteroskedastic with an unknown form. We formulate a multi-step GMM/IV type estimation procedure for the parameters of the model. We …
Persistent link: https://www.econbiz.de/10003792846
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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
Persistent link: https://www.econbiz.de/10008661866
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A spatial Cliff-Ord-type model with heteroskedastic innovations : small and large sample results
Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - In: Journal of regional science 50 (2010) 2, pp. 592-614
Persistent link: https://www.econbiz.de/10003974238
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A Spatial Cliff-Ord-Type Model with Heteroskedastic Innovations : Small and Large Sample Results
Arraiz, Irani - 2008
heteroskedastic with an unknown form. We formulate a multi-step GMM/IV type estimation procedure for the parameters of the model. We …
Persistent link: https://www.econbiz.de/10012768262
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GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Dogan, Osman; Taspinar, Suleyman - 2013
on the structure of the spatial weight matrices. Then, we extend the robust generalized method of moment (GMM) estimation … the disturbance term. We show the consistency of the robust GMM estimator and determine its asymptotic distribution …. Finally, through a comprehensive Monte Carlo simulation, we compare finite sample properties of the robust GMM estimator with …
Persistent link: https://www.econbiz.de/10014160295
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Heteroskedasticity-robust semi-parametric GMM estimation of a spatial model with space-varying coefficients
Wei, Hongjie; Sun, Yan - In: Spatial economic analysis : the journal of the Regional … 12 (2017) 1, pp. 113-128
Persistent link: https://www.econbiz.de/10011669077
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Spatial autoregressive models with unknown heteroskedasticity : a comparison of Bayesian and robust GMM approach
Doğan, Osman; Taşpınar, Süleyman - In: Regional science & urban economics 45 (2014), pp. 1-21
Persistent link: https://www.econbiz.de/10010474903
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Asymptotically efficient root estimators for spatial autoregressive models with spatial autoregressive disturbances
Jin, Fei; Lee, Lung-fei - In: Economics letters 194 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012509367