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Pseudo Maximum Likelihood Estimation of Spatial Autoregressive Models with Increasing Dimension

Gupta, A and Robinson, PM (2015) Pseudo Maximum Likelihood Estimation of Spatial Autoregressive Models with Increasing Dimension. Working Paper. University of Essex, Department of Economics, Economics Discussion Papers, Colchester. (Unpublished)

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Abstract

Pseudo maximum likelihood estimates are developed for higher-order spatial autoregres- sive models with increasingly many parameters, including models with spatial lags in the dependent variables and regression models with spatial autoregressive disturbances. We consider models with and without a linear or nonlinear regression component. Sufficient conditions for consistency and asymptotic normality are provided, the results varying ac- cording to whether the number of neighbours of a particular unit diverges or is bounded. Monte Carlo experiments examine nite-sample behaviour.

Item Type: Monograph (Working Paper)
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Elements
Date Deposited: 20 Jul 2018 11:36
Last Modified: 20 Jul 2018 12:15
URI: http://repository.essex.ac.uk/id/eprint/22698

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