Gupta, Abhimanyu (2023) Efficient closed-form estimation of large spatial autoregressions. Journal of Econometrics, 232 (1). pp. 148-167. DOI https://doi.org/10.1016/j.jeconom.2021.05.005
Gupta, Abhimanyu (2023) Efficient closed-form estimation of large spatial autoregressions. Journal of Econometrics, 232 (1). pp. 148-167. DOI https://doi.org/10.1016/j.jeconom.2021.05.005
Gupta, Abhimanyu (2023) Efficient closed-form estimation of large spatial autoregressions. Journal of Econometrics, 232 (1). pp. 148-167. DOI https://doi.org/10.1016/j.jeconom.2021.05.005
Abstract
Newton-step approximations to pseudo maximum likelihood estimates of spatial autoregressive models with a large number of parameters are examined, in the sense that the parameter space grows slowly as a function of sample size. These have the same asymptotic efficiency properties as maximum likelihood under Gaussianity but are of closed form. Hence they are computationally simple and free from compactness assumptions, thereby avoiding two notorious pitfalls of implicitly defined estimates of large spatial autoregressions. For an initial least squares estimate, the Newton step can also lead to weaker regularity conditions for a central limit theorem than those extant in the literature. A simulation study demonstrates excellent finite sample gains from Newton iterations, especially in large multiparameter models for which grid search is costly. A small empirical illustration shows improvements in estimation precision with real data.
Item Type: | Article |
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Uncontrolled Keywords: | 91B72, 62P20; econ.EM; stat.ME |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 24 May 2021 08:29 |
Last Modified: | 30 Oct 2024 20:56 |
URI: | http://repository.essex.ac.uk/id/eprint/30416 |
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