Efficient estimation of the semiparametric spatial autoregressive model

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Efficient estimation of the semiparametric spatial autoregressive model

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Peter Robinson () (Institute for Fiscal Studies and London School of Economics)

Abstract

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing non stochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series non parametric estimates of the score function are employed inadaptive estimates of parameters of interest. These estimates are as efficient as ones based on a correct form, in particular they are more effcient than pseudo-Gaussian maximum likelihood estimates at non-Gaussian distributions. Two different adaptive estimates are considered.One entails astringent condition on the spatial weight matrix,and is suitable only when observations have substantially many "neighbours". The other adaptive estimate relaxes this requirement, at the expense of alternative conditions and possible computational expense. A Monte Carlo study of finite sample performance is included.

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Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP08/06.

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Length: 30 pp.
Date of creation: May 2006
Date of revision:
Handle: RePEc:ifs:cemmap:08/06

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Find related papers by JEL classification:
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-07-15 (All new papers)
NEP-ECM-2006-07-15 (Econometrics)
NEP-GEO-2006-07-15 (Economic Geography)

References listed on IDEAS
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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. [Downloadable!] (restricted)
Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-48, May. [Downloadable!] (restricted)
Newey, Whitney K., 1988. "Adaptive estimation of regression models via moment restrictions," Journal of Econometrics, Elsevier, vol. 38(3), pages 301-339, July. [Downloadable!] (restricted)

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