Consistency and efficiency of least squares estimation for mixed regressive, spatial autoregressive models

Econometric Theory

Volumn 18, Issue 2, 2002, Pages 252-277

  Lee, Lung Fei ^a  

^a OHIO STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036004259     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0266466602182028     Document Type: Article

References (31)

1. Andrews, D.W.K. (1987) Consistency in nonlinear econometric models: A generic uniform law of large numbers. Econometrica 55, 1465-1471.
2. Andrews, D.W.K. (1992) Generic uniform convergence. Econometric Theory 8, 241-257.
3. Anselin, L. (1988) Spatial Econometrics: Methods and Models. The Netherlands: Kluwer Academic.
4. Anselin, L. (ed.) (1992) Space and Applied Econometrics [Special Issue]. Regional Science and Urban Economics 22.
5. Anselin, L. & A.K. Bera (1998) Spatial dependence in linear regression models with an introduction to spatial econometrics. In A. Ullah & D.E.A. Giles (eds.), Handbook of Applied Economics Statistics. New York: Marcel Dekker.
6. Anselin, L. & R. Florax (1995) New Directions in Spatial Econometrics. Berlin: Springer-Verlag.
7. Anselin, L. & S. Rey (1991) Properties of tests for spatial dependence in linear regression models. Geographical Analysis 23, 110-131.
8. Anselin, L. & S. Rey (eds.) (1997) Spatial Econometrics [Special Issue]. International Regional Science Review 20.
9. Billingsley, P. (1995) Probability and Measure. 3rd ed. New York: Wiley.
10. Case, A.C. (1991) Spatial patterns in household demand. Econometrica 59, 953-965.
11. Case, A.C. (1992) Neighborhood influence and technological change. Regional Science and Urban Economics 22, 491-508.
12. Case, A.C., H.S. Rosen, & J.R. Hines (1993) Budget spillovers and fiscal policy interdependence: Evidence from the states. Journal of Public Economics 52, 285-307.
13. Cliff, A. & J. Ord (1973) Spatial Autocorrelation. London: Pion.
14. Cliff, A. & J. Ord (1981) Spatial Processes, Models and Applications. London: Pion.
15. Cressie, N. (1993) Statistics for Spatial Data. New York: Wiley.
16. Doreian, P. (1980) Linear models with spatially distributed data, spatial disturbances, or spatial effects. Sociological Methods and Research 9, 29-60.
17. Haining, R. (1990) Spatial Data Analysis in the Social and Environmental Sciences. New York: Cambridge University Press.
18. Horn, R. & C. Johnson (1985) Matrix Analysis. New York: Cambridge University Press.
19. Kelejian, H.H. & I.R. Prucha (1997) Estimation of spatial regression models with autoregressive errors by two-stage least squares procedures: A serious problem. International Regional Science Review 20 (1 and 2), 103-111.
20. Kelejian, H.H. & I.R. Prucha (1998) A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances. Journal of Real Estate Finance and Economics 17, 99-121.
21. Kelejian, H.H. & I.R. Prucha (1999a) A generalized moments estimator for the autoregressive parameter in a spatial model. International Economics Review 40, 509-533.
22. Kelejian, H.H. & I.R. Prucha (1999b) On the Asymptotic Distribution of the Moran I Test Statistic with Applications. Manuscript, Department of Economics, University of Maryland.
23. Kelejian, H.H. & D. Robinson (1993) A suggested method of estimation for spatial interdependent models with autocorrelated errors, and an application to a county expenditure model. Papers in Regional Science 72, 297-312.
24. Lee, L.F. (1999a) Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances. Manuscript, Department of Economics, Hong Kong University of Science and Technology, Hong Kong.
25. Lee, L.F. (1999b) Asymptotic distributions of maximum likelihood estimators for spatial autoregressive models. Manuscript, Department of Economics, Hong Kong University of Science and Technology, Hong Kong.
26. Mead, R. (1967) A mathematical model for the estimation of interplant competition. Biometrics 23, 189-205.
27. Ord, J.K. (1975) Estimation methods for models of spatial interaction. Journal of the American Statistical Association 70, 120-297.
28. Pace, R.K. & R. Barry (1997) Sparse spatial autoregressions. Statistics and Probability Letters 33, 291-297.
29. Paelinck, J. & L. Klaassen (1979) Spatial Econometrics. Farnborough: Saxon House.
30. Rothenberg, T.J. (1971) Identification in parametric models. Econometrica 39, 577-591.
31. Whittle, P. (1954) On stationary processes in the plane. Biometrika 41, 434-449.