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Quasi-generalized least squares regression estimation with spatial data

Cuicui Lu and Jeffrey Wooldridge ()

Economics Letters, 2017, vol. 156, issue C, 138-141

Abstract: We use a particular quasi-generalized least squares (QGLS) approach to study a linear regression model with spatially correlated error terms. The QGLS estimator is consistent, asymptotically normal, computationally easier than GLS, and it appears to not lose much efficiency. A variance–covariance estimator for QGLS, which is robust to heteroskedasticity, spatial correlation and general variance–covariance misspecification is provided.

Keywords: Quasi-GLS; Spatial correlation; Covariance tapering; Spatial HAC estimator (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:eee:ecolet:v:156:y:2017:i:c:p:138-141