Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
Gupta, Abhimanyu; and Robinson, Peter M.
(2017)
Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension
Journal of Econometrics.
ISSN 0304-4076
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 |
|---|---|
| Keywords | Spatial autoregression; Increasingly many parameters; Consistency; Asymptotic normality; Pseudo Gaussian maximum likelihood; Finite sample performance |
| Departments | LSE Health |
| DOI | 10.1016/j.jeconom.2017.05.019 |
| Date Deposited | 23 Aug 2017 11:42 |
| URI | https://researchonline.lse.ac.uk/id/eprint/84085 |