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Nazgul Jenish

Econometric Theory, 2016, vol. 32, issue 3, 714-739

Abstract: This paper proposes a semiparametric generalized method of moments estimator (GMM) estimator for a partially parametric spatial model with endogenous spatially dependent regressors. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. A spatial heteroscedasticity and autocorrelation consistent covariance estimator is constructed for the GMM estimator. The leading application is nonlinear spatial autoregressions, which arise in a wide range of strategic interaction models. To derive the asymptotic properties of the estimator, the paper also establishes a stochastic equicontinuity criterion and functional central limit theorem for near-epoch dependent random fields.

Date: 2016
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Handle: RePEc:cup:etheor:v:32:y:2016:i:03:p:714-739_00