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

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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
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:	06 Apr 2024 03:30
URI:	http://eprints.lse.ac.uk/id/eprint/84085

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