A note on the existence and uniqueness of quasi-maximum likelihood estimators for mixed regressive, spatial autoregression models

Mengyuan Li, Dalei Yu and Peng Bai

Statistics & Probability Letters, 2013, vol. 83, issue 2, 568-572

Abstract: This note studies the existence and uniqueness of quasi-maximum likelihood estimator for mixed regressive, spatial autoregression model with continuously distributed response vector. Under very mild conditions that n>rank(Xn)+1 (n is the sample size and Xn is the n×p constant matrix of regressors), we show that the quasi-likelihood function has exactly one maximum with probability one in the parameter space.

Keywords: Existence; Mixed regressive, spatial autoregression model; Quasi-likelihood function; Quasi-maximum likelihood estimator; Uniqueness (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:2:p:568-572

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DOI: 10.1016/j.spl.2012.11.002

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