GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
نویسندگان
چکیده
منابع مشابه
Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances.
This study develops a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator suggested in Kelejian and Prucha (1998,1999) for the spatial autoregressive parameter in the disturb...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2227163