Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence

Economics Letters

Volumn 99, Issue 2, 2008, Pages 393-397

  Iglesias, Emma M ^a   Phillips, Garry D A ^b  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

Empirical likelihood; GMM; Higher order asymptotic expansions; Nonstationarity; Weak dependence

Indexed keywords

EID: 42649089788     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2007.09.015     Document Type: Article

References (13)

1. Anatolyev S. GMM, GEL, serial correlation, and asymptotic bias. Econometrica 73 3 (2005) 983-1002
2. Conley T.G. GMM estimation with cross sectional dependence. Journal of Econometrics 92 (1999) 1-45
3. Ekström M. Non-parametric estimation of the variance of sample means based on non-stationary spatial data. Communications in Statistics Part A-Theory and Methods 31 (2002) 1743-1775
4. Ekström M., and Luna S.S.-D. Subsampling methods to estimate the variance of sample means based on nonstationary spatial data with varying expected values. Journal of the American Statistical Association 99 465 (2004) 82-95
5. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
6. Hansen L.P., Heaton J., and Yaron A. Finite sample properties of some alternative GMM estimators. Journal of Business and Economic Statistics 14 (1996) 262-280
7. Johannes, J., Subba-Rao, S. (2006), Nonparametric prediction of nonstationary spatio-temporal processes, Mimeo.
8. Kitamura Y., and Slutzer M. An information-theoretic alternative to generalized method of moments estimation. Econometrica 65 (1997) 861-874
9. Lee L.-F. Asymptotic distributions of quasi-maximum likelihood estimators for spatial autoregressive models. Econometrica 72 6 (2004) 1899-1925
10. Newey W.K., and Smith R.J. Higher order properties of GMM and empirical likelihood estimators. Econometrica 72 (2004) 219-255
11. Pinkse J., Shen L., and Slade M. Dynamic spatial discrete choice using one step GMM: an application to mine operating decisions. Spatial Economic Analysis 1 1 (2006) 53-99
12. Pinkse J., Shen L., and Slade M. A central limit theorem for endogenous locations and complex spatial interactions. Journal of Econometrics 140 1 (2007) 215-225
13. Smith R.J. Alternative semi-parametric likelihood approaches to generalized method of moments estimation. Economic Journal 108 (1997) 503-519