Quasi-generalized least squares regression estimation with spatial data
Cuicui Lu and
Jeffrey Wooldridge ()
Economics Letters, 2017, vol. 156, issue C, 138-141
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)
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