An efficient GMM estimator of spatial autoregressive models

Journal of Econometrics

Volumn 159, Issue 2, 2010, Pages 303-319

  Liu, Xiaodong ^a   Lee, Lung Fei ^b   Bollinger, Christopher R ^c  

^a UNIVERSITY OF COLORADO   (United States)

^b OHIO STATE UNIVERSITY   (United States)

^c UNIVERSITY OF KENTUCKY   (United States)

Author keywords

Efficiency; GMM; QMLE; Spatial autoregressive models; Spatial correlated disturbances

Indexed keywords

ASYMPTOTIC EFFICIENCY; AUTO REGRESSIVE MODELS; DIAGONAL ELEMENTS; GAUSSIANS; GMM; GMM ESTIMATORS; MATRIX; ML ESTIMATORS; MOMENT FUNCTIONS; MONTE CARLO STUDY; QMLE; SPATIAL CORRELATED;

ASYMPTOTIC ANALYSIS; COMPUTATIONAL EFFICIENCY;

ESTIMATION;

EID: 77958021225     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.08.001     Document Type: Article

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