# Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

• Lung-Fei Lee

## Abstract

This paper investigates asymptotic properties of the maximum likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit will be influenced by only a few neighboring units, the estimators may have $\sqrt{n}$ n -rate of convergence and be asymptotically normal. When each unit can be influenced by many neighbors, irregularity of the information matrix may occur and various components of the estimators may have different rates of convergence. Copyright The Econometric Society 2004.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://hdl.handle.net/10.1111/j.1468-0262.2004.00558.x
File Function: link to full text

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

## Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 72 (2004)
Issue (Month): 6 (November)
Pages: 1899-1925

as in new window
Handle: RePEc:ecm:emetrp:v:72:y:2004:i:6:p:1899-1925

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/

Order Information:
Email:
Web: http://www.blackwellpublishing.com/memb.asp?ref=0012-9682

Keywords:

## References

No references listed on IDEAS
You can help add them by filling out this form.

## Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

## Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

## Corrections

When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:72:y:2004:i:6:p:1899-1925. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.