EconPapers    
Economics at your fingertips  
 

Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models

Kai Yang and Lung-Fei Lee

Journal of Econometrics, 2017, vol. 196, issue 1, 196-214

Abstract: This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, we also discuss a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. We study parameter spaces, parameter identification, asymptotic properties of the quasi-maximum likelihood estimation, and computational issues. Monte Carlo experiments illustrate the advantages of the QML, broader applicability and efficiency, compared to instrumental variables based estimation methods in the existing literature.

Keywords: Spatial simultaneous equations; Multivariate spatial autoregression; Identification; Quasi-maximum likelihood estimation; Full information maximum likelihood estimation (search for similar items in EconPapers)
JEL-codes: C13 C30 C31 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407616301683
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:196:y:2017:i:1:p:196-214

DOI: 10.1016/j.jeconom.2016.04.019

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:econom:v:196:y:2017:i:1:p:196-214