Asymptotic Distribution and Finite-Sample Bias Correction of QML Estimators for Spatial Dependence Model

• Main Authors: LIU, Shew Fan, YANG, Zhenlin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Asymptotics; Bias Correction; Bootstrap; Concentrated estimating equation; Monte Carlo; Spatial layout; Stochastic expansion; Econometrics; Economics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1752; https://ink.library.smu.edu.sg/context/soe_research/article/2751/viewcontent/econometrics_03_00376.pdf
• Institution: Singapore Management University

In studying the asymptotic and finite sample properties of quasi-maximum likelihood (QML) estimators for the spatial linear regression models, much attention has been paid to the spatial lag dependence (SLD) model; little has been given to its companion, the spatial error dependence (SED) model. In...