A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results

Irani Arraiz, David Drukker, Harry H. Kelejian and Ingmar Prucha

No 2485, CESifo Working Paper Series from CESifo

Abstract: In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step GMM/IV type estimation procedure for the parameters of the model. We then establish the limiting distribution of our suggested estimators, and give consistent estimators for their asymptotic variance covariance matrices, utilizing results given in Kelejian and Prucha (2007b). Monte Carlo results are given which suggest that the derived large sample distribution provides a good approximation to the actual small sample distribution of our estimators.

JEL-codes: C21 C31 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp2485.pdf (application/pdf)

Related works:
Journal Article: A SPATIAL CLIFF‐ORD‐TYPE MODEL WITH HETEROSKEDASTIC INNOVATIONS: SMALL AND LARGE SAMPLE RESULTS* (2010)
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:ces:ceswps:_2485

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().