Inference on Higher-Order Spatial Autoregressive Models with Increasingly Many Parameters
Abhimanyu Gupta and
Economics Discussion Papers from University of Essex, Department of Economics
This paper develops consistency and asymptotic normality of parameter estimates for a higher-order spatial autoregressive model whose order, and number of regressors, are allowed to approach infinity slowly with sample size. Both least squares and instrumental variables estimates are examined, and the permissible rate of growth of the dimension of the parameter space relative to sample size is studied. Besides allowing the number of estimable parameters to increase with the data, this has the advantage of accommodating explicitly some asymptotic regimes that arise in practice. Illustrations are discussed, in particular settings where the need for such theory arises quite naturally. A Monte Carlo study analyses various implications of the theory in finite samples. For empirical researchers our work has implications for the choice of model. In particular if the structure of the spatial weights matrix assumes a partitioning of the data then spatial parameters should be allowed to vary over clusters.
Keywords: Spatial autoregression; increasingly many parameters; central limit theorem; rate of convergence; spatial panel data (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://repository.essex.ac.uk/23417/ original version (application/pdf)
Journal Article: Inference on higher-order spatial autoregressive models with increasingly many parameters (2015)
Working Paper: Inference on higher-order spatial autoregressive models with increasingly many parameters (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:esx:essedp:23417
Ordering information: This working paper can be ordered from
Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
http://www.essex.ac. ... /papers-request.aspx
Access Statistics for this paper
More papers in Economics Discussion Papers from University of Essex, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Essex Economics Web Manager ().