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

Kelejian, Harry H.; Prucha, Ingmar R. - 2008

unknown heteroskedasticity in the innovations. We first generalize the generalized moments (GM) estimator suggested in …

Persistent link: https://www.econbiz.de/10010264476

GM Estimation of Higher-Order Spatial Autoregressive Processes in Cross-Section Models with Heteroskedastic Disturbances

Badinger, Harald; Egger, Peter - CESifo - 2008

This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...

Persistent link: https://www.econbiz.de/10005406007

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

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …

Persistent link: https://www.econbiz.de/10011290741

Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Doğan, Osman - In: Econometrics 3 (2015) 1, pp. 101-127

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …

Persistent link: https://www.econbiz.de/10011755273

Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term

Dogan, Osman - Department of Economics, Graduate Center - 2013

and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the …

Persistent link: https://www.econbiz.de/10011115555

Fixed effects and random effects estimation of higher-order spatial autoregressive models with spatial autoregressive and heteroskedastic disturbances

Badinger, Harald; Egger, Peter - 2014

panel data models with spatial autoregressive disturbances and heteroskedasticity of unknown form in the idiosyncratic error … heteroskedasticity of unknown form in the idiosyncratic error component. Finally, we derive a robust Hausman-test of the spatial random …

Persistent link: https://www.econbiz.de/10010367382