Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models

Abdelouahab Bibi

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 14, 4268-4284

Abstract: A two-dimensionally indexed random coefficients autoregressive models (2D − RCAR) and the corresponding statistical inference are important tools for the analysis of spatial lattice data. The study of such models is motivated by their second-order properties that are similar to those of 2D − (G)ARCH which play an important role in spatial econometrics. In this article, we study the asymptotic properties of two-stage generalized moment method (2S − GMM) under general asymptotic framework for 2D − RCA models. So, the efficiency, strong consistency, the asymptotic normality, and hypothesis tests of 2S − GMM estimation are derived. A simulation experiment is presented to highlight the theoretical results.

Date: 2016
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DOI: 10.1080/03610926.2014.919401

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