QML and Efficient GMM Estimation of Spatial Autoregressive Models with Dominant (Popular) Units

Lung-Fei Lee, Chao Yang and Jihai Yu

Journal of Business & Economic Statistics, 2023, vol. 41, issue 2, 550-562

Abstract: This article investigates QML and GMM estimation of spatial autoregressive (SAR) models in which the column sums of the spatial weights matrix might not be uniformly bounded. We develop a central limit theorem in which the number of columns with unbounded sums can be finite or infinite and the magnitude of their column sums can be O(nδ) if δ

Date: 2023
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DOI: 10.1080/07350015.2022.2041424

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