Advanced Search
MyIDEAS: Login

GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances

Contents:

Author Info

  • Osman Dogan

    ()
    (Ph.D. Program in Economics, City University of New York Graduate Center)

  • Suleyman Taspinar

    ()
    (Ph.D. Program in Economics, City University of New York Graduate Center)

Registered author(s):

    Abstract

    We consider a spatial econometric model containing a spatial lag in the dependent variable and the disturbance term with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for spatial autoregressive models is generally inconsistent when heteroskedasticity is not taken into account in the estimation. We show that the necessary condition for the consistency of the ML estimator of spatial autoregressive parameters depends on the structure of the spatial weight matrices. Then, we extend the robust generalized method of moment (GMM) estimation approach in Lin and Lee (2010) for the spatial model allowing for a spatial lag not only in the dependent variable but also in the disturbance term. We show the consistency of the robust GMM estimator and determine its asymptotic distribution. Finally, through a comprehensive Monte Carlo simulation, we compare finite sample properties of the robust GMM estimator with other estimators proposed in the literature.

    Download Info

    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://wfs.gc.cuny.edu/Economics/RePEc/cgc/wpaper/CUNYGC-WP001.pdf
    File Function: First version, 2013
    Download Restriction: no

    Bibliographic Info

    Paper provided by City University of New York Graduate Center, Ph.D. Program in Economics in its series Working Papers with number 001.

    as in new window
    Length: 57
    Date of creation: 16 Dec 2013
    Date of revision:
    Handle: RePEc:cgc:wpaper:001

    Contact details of provider:
    Postal: 365 5th Avenue, 5th Floor, New York, NY 10026
    Phone: (212) 817-8255
    Fax: (212) 817-1514
    Web page: http://www.gc.cuny.edu/economics
    More information through EDIRC

    Related research

    Keywords: spatial autoregressive models; unknown heteroskedasticity; robustness; GMM; asymptotics; MLE;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R., 2010. "An efficient GMM estimator of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 159(2), pages 303-319, December.
    2. J. Elhorst, 2010. "Applied Spatial Econometrics: Raising the Bar," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(1), pages 9-28.
    3. Smirnov, Oleg & Anselin, Luc, 2001. "Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach," Computational Statistics & Data Analysis, Elsevier, vol. 35(3), pages 301-319, January.
    4. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
    5. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
    6. Lee, Lung-fei & Liu, Xiaodong, 2010. "Efficient Gmm Estimation Of High Order Spatial Autoregressive Models With Autoregressive Disturbances," Econometric Theory, Cambridge University Press, vol. 26(01), pages 187-230, February.
    7. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
    8. Lin, Xu & Lee, Lung-fei, 2010. "GMM estimation of spatial autoregressive models with unknown heteroskedasticity," Journal of Econometrics, Elsevier, vol. 157(1), pages 34-52, July.
    9. Olivier Parent & James P. Lesage, 2007. "Bayesian Model Averaging for Spatial Econometric Models ," University of Cincinnati, Economics Working Papers Series 2007-02, University of Cincinnati, Department of Economics.
    10. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    11. Pace, R. Kelley & LeSage, James P., 2004. "Chebyshev approximation of log-determinants of spatial weight matrices," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 179-196, March.
    12. Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 507-515.
    13. Elhorst, J. Paul & Lacombe, Donald J. & Piras, Gianfranco, 2012. "On model specification and parameter space definitions in higher order spatial econometric models," Regional Science and Urban Economics, Elsevier, vol. 42(1-2), pages 211-220.
    14. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
    Full references (including those not matched with items on IDEAS)

    Citations

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

    Cited by:
    1. Doğan, Osman & Taşpınar, Süleyman, 2013. "GMM estimation of spatial autoregressive models with moving average disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 903-926.

    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:cgc:wpaper:001. 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: (David A. Jaeger).

    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.