Semiparametric GMM estimation of spatial autoregressive models

Journal of Econometrics

Volumn 167, Issue 2, 2012, Pages 543-560

  Su, Liangjun ^a  

^a SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Generalized method of moments; Local instruments; Nonlinearity; Semiparametrics; Spatial autoregression

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; ASYMPTOTIC VARIANCE-COVARIANCE; AUTO REGRESSIVE MODELS; AUTO-REGRESSIVE; ERROR PROCESS; ERROR TERMS; FINITE SAMPLES; GENERALIZED METHOD OF MOMENTS; HETEROSCEDASTICITY; LIMITING DISTRIBUTIONS; MONTE CARLO SIMULATION; NON-LINEARITY; NON-PARAMETRIC; PARAMETRIC COMPONENTS; SEMIPARAMETRIC; SEMIPARAMETRICS; SPATIAL AUTOREGRESSION; SPATIAL DEPENDENCE; SPATIAL PARAMETERS;

ASYMPTOTIC ANALYSIS; COVARIANCE MATRIX; ESTIMATION; MONTE CARLO METHODS; REGRESSION ANALYSIS; SAMPLING;

PARAMETER ESTIMATION;

EID: 84857191009     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.09.034     Document Type: Conference Paper

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