Asymptotic distributions of quasi-maximum likelihood estimators for spatial autoregressive models

Econometrica

Volumn 72, Issue 6, 2004, Pages 1899-1925

  Lee, Lung Fei ^a  

^a OHIO STATE UNIVERSITY   (United States)

Author keywords

Increasing domain asymptotics; Infill asymptotics; Maximum likelihood estimation; Quasi maximum likelihood estimator; Rates of convergence; Spatial autoregression

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; INFORMATION ANALYSIS; MATHEMATICAL MODELS; MATRIX ALGEBRA; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; SPATIAL VARIABLES MEASUREMENT; STATISTICAL METHODS;

INCREASING-DOMAIN ASYMPTOTICS; INFILL ASYMPTOTICS; QUASI-MAXIMUM LIKELIHOOD ESTIMATOR; RATE OF CONVERGENCE; SPATIAL AUTOREGRESSION;

THEOREM PROVING;

EID: 8344266845     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2004.00558.x     Document Type: Review

References (30)

1. ANSELIN, L. (1988): Spatial Econometrics: Methods and Models. The Netherlands: Kluwer Academic Publishers.
2. ANSELIN, L., AND A. K. BERA (1998): "Spatial Dependence in Linear Regression Models with an Introduction to Spatial Econometrics," in Handbook of Applied Economics Statistics, ed. by A. Ullah and D. E. A. Giles. New York: Marcel Dekker.
3. BELL, K. P., AND N. E. BOCKSTAEL (2000): "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, 82, 72-82.
4. BESLEY, T., AND A. CASE (1995): "Incumbent Behavior: Vote-Seeking, Tax-Setting, and Yardstick Competition," The American Economic Review, 85, 25-45.
5. BERTRAND, M., E. F. P. LUTTMER, AND S. MULLAINATHAN (2000): "Network Effects and Welfare Cultures," Quarterly Journal of Economics, 115, 1019-1055.
6. BRUECKNER, J. K. (1998): "Testing for Strategic Interaction Among Local Governments: The Case of Growth Controls," Journal of Urban Economics, 44, 438-467.
7. CASE, A. C. (1991): "Spatial Patterns in Household Demand," Econometrica, 59, 953-965.
8. CASE, A. C., H. S. ROSEN, AND J. R. HINES (1993): "Budget Spillovers and Fiscal Policy Interdependence: Evidence from the States," Journal of Public Economics, 52, 285-307.
9. CLIFF, A. D., AND J. K. ORD (1973): Spatial Autocorrelation. London: Pion Ltd.
10. CONLEY, T. G. (1999): "GMM Estimation with Cross Sectional Dependence," Journal of Econometrics, 92, 1-45.
11. CRESSIE, N. (1993): Statistics for Spatial Data. New York: John Wiley& Sons.
12. CRESSIE, N., AND S. N. LAHIRI (1993): "The Asymptotic Distribution of REML Estimators," Journal of Multivariate Analysis, 45, 217-233.
13. GIRAITIS, L., AND M. S. TAQQU (1998): "Central Limit Theorems for Quadratic Forms with Time-Domain Conditions," The Annals of Probability, 26, 377-398.
14. HORN, R., AND C. JOHNSON (1985): Matrix Analysis. New York: Cambridge University Press.
15. KELEJIAN, H. H., AND 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.
16. _ (1999): "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economics Review, 40, 509-533.
17. _ (2001): "On the Asymptotic Distribution of the Moran I Test Statistic with Applications," Journal of Econometrics, 104, 219-257.
18. LEE, L. F. (2002): "Consistency and Efficiency of Least Squares Estimation for Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, 18, 252-277.
19. _ (2003): "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances," Econometric Reviews, 22, 307-335.
20. MANSKI, C. F. (1993): "Identification of Endogenous Social Effects: The Reflection Problem," The Review of Economic Studies, 60, 531-542.
21. MARDIA, K. V. AND R. J. MARSHALL (1984): "Maximum Likelihood Estimation of Models for Residual Covariance in Spatial Regression," Biometrika, 73, 135-146.
22. ORD, J. K. (1975): "Estimation Methods for Models of Spatial Interaction," Journal of American Statistical Association, 70, 120-126.
23. PINKSE, J. (1999): "Asymptotic Properties of Moran and Related Tests and Testing for Spatial Correlation in Probit Models," Unpublished Manuscript, University of British Columbia.
24. PRESS, W. H., S. A. TEUKOLSKY, W. T. VETTERLING, AND B. P. FLANNERY (1992): Numerical Recipes (Second Ed.). New York: Cambridge University Press.
25. RIPLEY, B. D. (1988): Statistical Inference for Spatial Processes. New York: Cambridge University Press.
26. SMIRNOV, O., AND L. ANSELIN (2001): "Fast Maximum Likelihood Estimation of Very Large Spa-tial Autoregressive Models: A Characteristic Polynomial Approach," Computational Statistics and Data Analysis, 35, 301-319.
27. STEIN, M. L. (1999): Interpolation of Spatial Data. New York: Springer-Verlag.
28. TOPA, G. (2001): "Social Interactions, Local Spillovers and Unemployment," Review of Economic Studies, 68, 261-295.
29. WHITE, H. (1984): Asymptotic Theory for Econometricians. Orlando: Academic Press.
30. _ (1994): Estimation, Inference and Specification Analysis. New York: Cambridge University Press.