Modified QML Estimation of Spatial Autoregressive Models with Unknown Heteroskedasticity and Nonnormality

• Main Authors: LIU, Shew Fan, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Spatial dependence; Unknown heteroskedasticity; Nonnormality; Modified QML estimator; Robust standard error; Econometrics
• 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
• Institution: Singapore Management University

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...