Quasi maximum likelihood estimation for simultaneous spatial autoregressive models

Luya Wang, Kunpeng Li and Zhengwei Wang

MPRA Paper from University Library of Munich, Germany

Abstract: This paper considers the problem of estimating a simultaneous spatial autoregressive model (SSAR). We propose using the quasi maximum likelihood method to estimate the model. The asymptotic properties of the maximum likelihood estimator including consistency and limiting distribution are investigated. We also run Monte Carlo simulations to examine the finite sample performance of the maximum likelihood estimator.

Keywords: Simultaneous equations model; Spatial autoregressive model; Maximum likelihood estimation; Asymptotic theory. (search for similar items in EconPapers)
JEL-codes: C31 (search for similar items in EconPapers)
Date: 2014-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59901

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