Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
Gupta, A. & Robinson, P. M.
(2017).
Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension.
Journal of Econometrics,
https://doi.org/10.1016/j.jeconom.2017.05.019
Pseudo maximum likelihood estimates are developed for higher-order spatial autoregressive models with increasingly many parameters, including models with spatial lags in the dependent variables both with and without a linear or nonlinear regression component, and regression models with spatial autoregressive disturbances. Consistency and asymptotic normality of the estimates are established. Monte Carlo experiments examine finite-sample behaviour
| Item Type | Article |
|---|---|
| Copyright holders | © 2017 Elsevier B.V. |
| Departments | LSE > Research Centres > LSE Health |
| DOI | 10.1016/j.jeconom.2017.05.019 |
| Date Deposited | 23 Aug 2017 |
| Acceptance Date | 30 May 2017 |
| URI | https://researchonline.lse.ac.uk/id/eprint/84085 |
Explore Further
- http://www.lse.ac.uk/economics/people/faculty/peter-robinson.aspx (Author)
- http://www.sciencedirect.com/science/article/pii/S0304407617301458 (Publisher)
- https://www.scopus.com/pages/publications/85029409271 (Scopus publication)
- http://www.sciencedirect.com/science/journal/03044... (Official URL)