Adaptive Inference on Pure Spatial Models
Jungyoon Lee and
Peter M Robinson
STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
We consider adaptive tests and estimates which are asymptotically efficient in the presence of unknown, nonparametric, distributional form in pure spatial models. A novel adaptive Lagrange Multiplier testing procedure for lack of spatial dependence is proposed and extended to linear regression with spatially correlated errors. Feasibility of adaptive estimation is verified and its efficiency improvement over Gaussian pseudo maximum likelihood is shown to be either less than, or more than, for models with explanatory variables. The paper covers a general class of semiparametric spatial models allowing nonlinearity in the parameters and/or the weight matrix, in addition to unknown distribution.
Keywords: Efficient test; adaptive estimation; spatial models (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 C21 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:596
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