A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model

Harry H Kelejian and Ingmar Prucha

International Economic Review, 1999, vol. 40, issue 2, 509-33

Abstract: This paper is concerned with the estimation of the autoregressive parameter in a widely considered spatial autocorrelation model. The typical estimator for this parameter considered in the literature is the (quasi) maximum likelihood estimator corresponding to a normal density. However, as discussed in this paper, the (quasi) maximum likelihood estimator may not be computationally feasible in many cases involving moderate- or large-sized samples. In this paper we suggest a generalized moments estimator that is computationally simple irrespective of the sample size. We provide results concerning the large and small sample properties of this estimator. Copyright 1999 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:ier:iecrev:v:40:y:1999:i:2:p:509-33

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