Advanced Search
MyIDEAS: Login to save this article or follow this journal

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

Contents:

Author Info

  • Kelejian, Harry H
  • Prucha, Ingmar R
Registered author(s):

    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 this 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. Copyright 1999 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

    Volume (Year): 40 (1999)
    Issue (Month): 2 (May)
    Pages: 509-33

    as in new window
    Handle: RePEc:ier:iecrev:v:40:y:1999:i:2:p:509-33

    Contact details of provider:
    Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
    Phone: (215) 898-8487
    Fax: (215) 573-2057
    Email:
    Web page: http://www.econ.upenn.edu/ier
    More information through EDIRC

    Order Information:
    Email:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=0020-6598

    Related research

    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.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ier:iecrev:v:40:y:1999:i:2:p:509-33. 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 ().

    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.