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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2015
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |