Semiparametric GMM Estimation of Spatial Autoregressive Models

Semiparametric GMM Estimation of Spatial Autoregressive Models

We propose semiparametric GMM estimation of semiparametric spatial autoregressive (SAR) models under weak moment conditions. In comparison with the quasi-maximum-likelihood-based semiparametric estimator of Su and Jin (2010), we allow for both heteroscedasticity and spatial dependence in the error t...

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Bibliographic Details
Main Author: SU, Liangjun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2012
Subjects:
Generalized method of moments
Local instruments
Nonlinearity
Semiparametrics
Spatial autoregression
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1423
https://ink.library.smu.edu.sg/context/soe_research/article/2422/viewcontent/Semi_Parametric_GMM_2013.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1423
https://ink.library.smu.edu.sg/context/soe_research/article/2422/viewcontent/Semi_Parametric_GMM_2013.pdf

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