Efficient Estimation of Spatial Autoregressive Models
AbstractThis paper considers estimating general spatial autoregressive models using the generalized method of moments (GMM). I propose nonparametric estimates of the optimal instruments based on conditional second moment restrictions. I show that these instruments are optimal over all possible instruments, especially over those usually suggested in a spatial context. I provide a nonparametric estimator of sample autocovariances function for irregularly spaced spatial processes, and I show that this estimator converges in probability. I then derive the consistency in norm L_2 of the resulting asymptotic variance matrix estimator. Finally, the asymptotic distribution of the GMM estimator is stated.
Download InfoIf 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.
Bibliographic InfoPaper provided by Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg in its series Working Papers of BETA with number 2001-05.
Date of creation: 2001
Date of revision:
Contact details of provider:
Postal: PEGE. 61, Aven. de la Forêt-Noire 67000 Strasbourg
Phone: +33 3 68 85 20 69
Fax: +33 3 68 85 20 70
Web page: http://www.beta-umr7522.fr/
More information through EDIRC
Instrumental variables; Spatial dependence; Nonparametric estimation;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2001-07-30 (All new papers)
- NEP-ECM-2001-07-30 (Econometrics)
- NEP-ETS-2001-07-30 (Econometric Time Series)
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.:
- Newey, W.K., 1989.
"Efficient Instrumental Variables Estimation Of Nonlinear Models,"
341, Princeton, Department of Economics - Econometric Research Program.
- Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-37, July.
- Hautsch, Nikolaus & Klotz, Stefan, 2003.
"Estimating the neighborhood influence on decision makers: theory and an application on the analysis of innovation decisions,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 52(1), pages 97-113, September.
- Nikolaus Hautsch & Stefan Klotz, 2001. "Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions," CoFE Discussion Paper 01-04, Center of Finance and Econometrics, University of Konstanz.
- Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
- Badi H. Baltagi & Dong Li, 2006.
"Prediction in the Panel Data Model with Spatial Correlation: The Case of Liquor,"
Center for Policy Research Working Papers
84, Center for Policy Research, Maxwell School, Syracuse University.
- Badi Baltagi & Dong Li, 2006. "Prediction in the Panel Data Model with Spatial Correlation: the Case of Liquor," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(2), pages 175-185.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- 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.
- Théophile AZOMAHOU & Agénor LAHATTE, 2000. "On the Inconsistency of the Ordinary Least Squares Estimator for Spatial Autoregressive Processes," Working Papers of BETA 2000-12, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
- Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.