Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality
In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi maximum likelihood (QML) estimators of spatial autoregressive models (SAR) can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In this pap...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1598 https://ink.library.smu.edu.sg/context/soe_research/article/2597/viewcontent/14_2014.pdf |
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| Institution: | Singapore Management University |
| Language: | English |