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
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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

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