EconPapers    
Economics at your fingertips  
 

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

Harry H. Kelejian () and Ingmar Prucha
Additional contact information
Harry H. Kelejian: Department of Economics, University of Maryland, http://econweb.umd.edu/~kelejian/

Electronic Working Papers from University of Maryland, Department of Economics

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 the 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.

Keywords: Spatial Models; Autocorrelation; Generalized Moments Estimator; Feasible GLS (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Date: 1995-02, Revised 1997-03
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.econweb.umd.edu/papers/pk1.pdf Full text (application/pdf)

Related works:
Journal Article: A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model (1999)
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:umd:umdeco:95-001

Ordering information: This working paper can be ordered from
Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742

Access Statistics for this paper

More papers in Electronic Working Papers from University of Maryland, Department of Economics Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742.
Bibliographic data for series maintained by Peter Murrell ().

 
Page updated 2019-12-06
Handle: RePEc:umd:umdeco:95-001