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

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) estimator of the spatial autoregressive (SAR) model can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In this pap...

Full description

Saved in:
Bibliographic Details
Main Authors: LIU, Shew Fan, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2015
Subjects:
Spatial dependence
Unknown heteroskedasticity
Nonnormality
Modified QML estimator
Robust standard error
SARAR models
Econometrics
Economics
Online Access:https://ink.library.smu.edu.sg/soe_research/1647
https://ink.library.smu.edu.sg/context/soe_research/article/2646/viewcontent/ModifiedQMLEstimationSpatialAutoregressiveModels_2015_pp.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1647
https://ink.library.smu.edu.sg/context/soe_research/article/2646/viewcontent/ModifiedQMLEstimationSpatialAutoregressiveModels_2015_pp.pdf

Similar Items