EconPapers    
Economics at your fingertips  
 

Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

Harry H. Kelejian and Ingmar Prucha

Journal of Econometrics, 2010, vol. 157, issue 1, 53-67

Abstract: This study develops a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator suggested in (Kelejian and Prucha, 1998) and (Kelejian and Prucha, 1999) for the spatial autoregressive parameter in the disturbance process. We also define IV estimators for the regression parameters of the model and give results concerning the joint asymptotic distribution of those estimators and the GMM estimator. Much of the theory is kept general to cover a wide range of settings.

Keywords: Spatial; dependence; Heteroskedasticity; Cliff-Ord; model; Two-stage; least; squares; Generalized; moments; estimation; Asymptotics (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (295) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(09)00278-4
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances (2008) Downloads
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:157:y:2010:i:1:p:53-67

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 Dana Niculescu ().

 
Page updated 2019-11-30
Handle: RePEc:eee:econom:v:157:y:2010:i:1:p:53-67