Journal
JOURNAL OF ECONOMETRICS
Volume 157, Issue 1, Pages 53-67Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2009.10.025
Keywords
Spatial dependence; Heteroskedasticity; Cliff-Ord model; Two-stage least squares; Generalized moments estimation; Asymptotics
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Funding
- National Science Foundation [SES-0001780]
- SBIR [R43 AG027622, R44 AG027622]
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This study develops a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator suggested in Kelejian and Prucha (1998, 1999) for the spatial autoregressive parameter in the disturbance process. We also define IV estimators for the regression parameters of the model and give results concerning the joint asymptotic distribution of those estimators and the GMM estimator. Much of the theory is kept general to cover a wide range of settings. (C) 2009 Elsevier B.V. All rights reserved.
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