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Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Doğan, Osman - In: Econometrics : open access journal 3 (2015) 1, pp. 101-127
In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally...
Persistent link: https://www.econbiz.de/10011290741
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Testing for a Unit Root in Noncausal Autoregressive Models
Saikkonen, Pentti - 2013
higher than the power of conventional Dickey-Fuller tests and the M-tests of Lucas (1995, Econometric Theory 11, 331-346). In …
Persistent link: https://www.econbiz.de/10013072628
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Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
Tuzcuoglu, Kerem - 2019
probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In … such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high …
Persistent link: https://www.econbiz.de/10012871277
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Autoregressive model with spatial dependence and missing data
Zhou, Jing; Liu, Jin; Wang, Feifei; Wang, Hansheng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 28-34
Persistent link: https://www.econbiz.de/10012804080
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Revisiting estimation methods for spatial econometric interaction models
Dargel, Lukas - 2021
Persistent link: https://www.econbiz.de/10012650667
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Estimation of spatial sample selection models : a partial maximum likelihood approach
Rabovic, Renata; Čížek, Pavel - 2020
Persistent link: https://www.econbiz.de/10013183729
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State-dependent autoregressive models with p lags : properties, estimation and forecasting
Gobbi, Fabio; Mulinacci, Sabrina - In: Central European journal of economic modelling and … 14 (2022) 1, pp. 81-108
Persistent link: https://www.econbiz.de/10012878801
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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
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Small Sample Properties of Maximum Likelihood Versus Generalized Method of Moments Based Tests for Spatially Autocorrelated Errors
Egger, Peter H.; Larch, Mario; Pfaffermayr, Michael; … - 2021
autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM …
Persistent link: https://www.econbiz.de/10013318167
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Adjusted QMLE for the spatial autoregressive parameter
Martellosio, Federico; Hillier, Grant H. - In: Journal of econometrics 219 (2020) 2, pp. 488-506
Persistent link: https://www.econbiz.de/10012483409