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Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term

Osman Doğan ()
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Osman Doğan: Program in Economics, The Graduate School and University Center, The City University of New York, New York, NY 10016, USA

Econometrics, 2015, vol. 3, issue 1, 1-27

Abstract: In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I provide simulation results to evaluate the performance of the MLE. The simulation results indicate that the MLE imposes a substantial amount of bias on both autoregressive and moving average parameters.

Keywords: spatial dependence; spatial moving average; spatial autoregressive; maximum likelihood estimator; MLE; asymptotics; heteroskedasticity; SARMA(1,1) (search for similar items in EconPapers)
JEL-codes: B23 C C00 C01 C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 2015
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