GMM and 2SLS estimation of mixed regressive, spatial autoregressive models

Journal of Econometrics

Volumn 137, Issue 2, 2007, Pages 489-514

  Lee, Lung fei ^a  

^a OHIO STATE UNIVERSITY   (United States)

Author keywords

2SLS; Efficiency; GMM; ML; Regression; Spatial autoregressive models; Spatial econometrics

Indexed keywords

ASYMPTOTIC STABILITY; INDUSTRIAL ECONOMICS; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION;

SPATIAL AUTOREGRESSIVE MODELS; SPATIAL ECONOMETRICS;

REGRESSION ANALYSIS;

EID: 33847203590     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.10.004     Document Type: Article

References (19)

1. Amemiya T. Advanced Econometrics (1985), Harvard University Press, Cambridge, MA
2. Anselin L. Spatial Econometrics: Methods and Models (1988), Kluwer, Dordrecht
3. Anselin L. Some robust approaches to testing and estimation in spatial econometrics. Regional Science and Urban Economics 20 (1990) 141-163
4. Anselin L., and Bera A.K. Spatial dependence in linear regression models with an introduction to spatial econometrics. In: Ullah A., and Giles D.E.A. (Eds). Handbook of Applied Economic Statistics (1998), Marcel Dekker, New York 237-289
5. Case A.C. Spatial patterns in household demand. Econometrica 59 (1991) 953-965
6. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
7. Horn R., and Johnson C. Matrix Analysis (1985), Cambridge University Press, New York
8. Kelejian H.H., and Prucha I.R. 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 (1997) 103-111
9. Kelejian H.H., and Prucha I.R. A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbance. Journal of Real Estate Finance and Economics 17 (1998) 99-121
10. Kelejian H.H., and Prucha I.R. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 40 (1999) 509-533
11. Kelejian H.H., and Prucha I.R. On the asymptotic distribution of the Moran I test statistic with applications. Journal of Econometrics 104 (2001) 219-257
12. Kelejian H.H., and Robinson D.P. A suggested method of estimation for spatial interdependence models with autocorrelated errors, and an application to a county expenditure model. Papers in Regional Science 72 (1993) 297-312
13. Land K., and Deane G. On the large-sample estimation of regression models with spatial-or network-effects terms: a two stage least squares approach. In: Marsden P. (Ed). Sociological Methodology (1992), Jossey Bass, San Francisco 221-248
14. Lee, L.F., 2001. Generalized method of moments estimation of spatial autoregressive processes. Manuscript, 2001, Department of Economics, OSU, Columbus, OH.
15. Lee L.F. Best spatial two-stage least squares estimators for a spatial autoregressive model with autoregressive disturbances. Econometric Reviews 22 (2003) 307-335
16. Lee L.F. Asymptotic distributions of quasi-maximum likelihood estimators for spatial econometric models. Econometrica 72 (2004) 1899-1926
17. Ord J. Estimation methods for models of spatial interaction. Journal of the American Statistical Association 70 (1975) 120-126
18. Smirnov O., and Anselin L. Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach. Computational Statistics and Data Analysis 35 (2001) 301-319
19. White H. Estimation, Inference and Specification Analysis (1994), Cambridge University Press, New York