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Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

Kelejian, Harry H. - 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/10012768815

QML estimation of the matrix exponential spatial specification panel data model with fixed effects and heteroskedasticity

Zhang, Yuanqing; Feng, Shuhui; Jin, Fei - In: Economics letters 180 (2019), pp. 1-5

Persistent link: https://www.econbiz.de/10012121730

Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal But Heteroskedastic Disturbances

Yokoi, Takahisa - 2010

estimation of heteroskedastic models that also utilizes multiple spatial weight matrices and confirm the efficiency of the …

Persistent link: https://www.econbiz.de/10014194202

Covariance matrix estimatioon and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability

Hall, Alastair R.; Inoue, Atsushi; Peixe, Fernanda P. M. - In: Econometric theory 19 (2003) 6, pp. 962-983

Persistent link: https://www.econbiz.de/10001818930

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

Badinger, Harald; Egger, Peter H. - 2021

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/10013316494