Indirect inference in spatial autoregression

• المؤلفون الرئيسيون: KYRIACOU, Maria, PHILLIPS, Peter C. B., ROSSI, Francesca
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Bias; Binding function; Inconsistency; Indirect Inference; Spatial autoregression; Weight matrix; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2214; https://ink.library.smu.edu.sg/context/soe_research/article/3213/viewcontent/ectj12084.pdf
• المؤسسة: Singapore Management University

Ordinary least-squares (OLS) is well known to produce an inconsistent estimator of the spatial parameter in pure spatial autoregression (SAR). In this paper, we explore the potential of indirect inference to correct the inconsistency of OLS. Under broad conditions, it is shown that indirect inferenc...