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Quasi-generalized least squares regression estimation with spatial data

Author

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  • Lu, Cuicui
  • Wooldridge, Jeffrey M.

Abstract

We use a particular quasi-generalized least squares (QGLS) approach to study a linear regression model with spatially correlated error terms. The QGLS estimator is consistent, asymptotically normal, computationally easier than GLS, and it appears to not lose much efficiency. A variance–covariance estimator for QGLS, which is robust to heteroskedasticity, spatial correlation and general variance–covariance misspecification is provided.

Suggested Citation

  • Lu, Cuicui & Wooldridge, Jeffrey M., 2017. "Quasi-generalized least squares regression estimation with spatial data," Economics Letters, Elsevier, vol. 156(C), pages 138-141.
    • Handle: RePEc:eee:ecolet:v:156:y:2017:i:c:p:138-141
    DOI: 10.1016/j.econlet.2017.04.004
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    References listed on IDEAS

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    1. Badi Baltagi & Alain Pirotte, 2011. "Seemingly unrelated regressions with spatial error components," Empirical Economics, Springer, vol. 40(1), pages 5-49, February.
    2. Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
    3. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
    4. Jenish, Nazgul & Prucha, Ingmar R., 2009. "Central limit theorems and uniform laws of large numbers for arrays of random fields," Journal of Econometrics, Elsevier, vol. 150(1), pages 86-98, May.
    5. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
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    Cited by:

    1. Cuicui Lu & Weining Wang & Jeffrey M. Wooldridge, 2018. "Using generalized estimating equations to estimate nonlinear models with spatial data," Papers 1810.05855, arXiv.org.

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    More about this item

    Keywords

    Quasi-GLS; Spatial correlation; Covariance tapering; Spatial HAC estimator;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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