Gupta, Abhimanyu and Robinson, Peter M. (2017) Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension. Journal of Econometrics. ISSN 0304-4076
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Identification Number: 10.1016/j.jeconom.2017.05.019
Abstract
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 |
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Official URL: | http://www.sciencedirect.com/science/journal/03044... |
Additional Information: | © 2017 Elsevier B.V. |
Divisions: | LSE Health |
Subjects: | H Social Sciences > HB Economic Theory |
Date Deposited: | 23 Aug 2017 11:42 |
Last Modified: | 08 Aug 2024 19:15 |
URI: | http://eprints.lse.ac.uk/id/eprint/84085 |
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