IDEAS home Printed from https://ideas.repec.org/p/wiw/wiwrsa/ersa10p536.html
   My bibliography  Save this paper

Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances

Author

Listed:
  • Takahisa Yokoi

Abstract

Likelihood functions of spatial autoregressive models with normal but heteroskedastic disturbances have been already derived [Anselin (1988, ch.6)]. But there is no implementation for maximum likelihood estimation of these likelihood functions in general (heteroskedastic disturbances) cases. This is the reason why less efficient IV-based methods, 'robust 2-SLS' estimation for example, must be applied when disturbance terms may be heteroskedastic. In this paper, we develop a new computer program for maximum likelihood estimation and confirm the efficiency of our estimator in heteroskedastic disturbance cases using Monte Carlo simulations.

Suggested Citation

  • Takahisa Yokoi, 2011. "Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances," ERSA conference papers ersa10p536, European Regional Science Association.
    • Handle: RePEc:wiw:wiwrsa:ersa10p536
    as

    Download full text from publisher

    File URL: https://www-sre.wu.ac.at/ersa/ersaconfs/ersa10/ERSA2010finalpaper536.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
    2. Amemiya, Takeshi, 1977. "A note on a heteroscedastic model," Journal of Econometrics, Elsevier, vol. 6(3), pages 365-370, November.
    3. Kelejian, Harry H. & Robinson, Dennis P., 1998. "A suggested test for spatial autocorrelation and/or heteroskedasticity and corresponding Monte Carlo results," Regional Science and Urban Economics, Elsevier, vol. 28(4), pages 389-417, July.
    4. 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.
    5. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    6. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    7. Won Kim, Chong & Phipps, Tim T. & Anselin, Luc, 2003. "Measuring the benefits of air quality improvement: a spatial hedonic approach," Journal of Environmental Economics and Management, Elsevier, vol. 45(1), pages 24-39, January.
    8. Jarque, Carlos M. & Bera, Anil K., 1980. "Efficient tests for normality, homoscedasticity and serial independence of regression residuals," Economics Letters, Elsevier, vol. 6(3), pages 255-259.
    9. Sedgley, Norman H. & Williams, Nancy A. & Derrick, Frederick W., 2008. "The effect of educational test scores on house prices in a model with spatial dependence," Journal of Housing Economics, Elsevier, vol. 17(2), pages 191-200, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Liu, Shew Fan & Yang, Zhenlin, 2015. "Modified QML estimation of spatial autoregressive models with unknown heteroskedasticity and nonnormality," Regional Science and Urban Economics, Elsevier, vol. 52(C), pages 50-70.
    2. Chasco, Coro & Le Gallo, Julie & López, Fernando A., 2018. "A scan test for spatial groupwise heteroscedasticity in cross-sectional models with an application on houses prices in Madrid," Regional Science and Urban Economics, Elsevier, vol. 68(C), pages 226-238.
    3. Julie Le Gallo, 2004. "Hétérogénéité spatiale : principes et méthodes," Économie et Prévision, Programme National Persée, vol. 162(1), pages 151-172.
    4. Ather Akbari & Tomson Ogwang, 1997. "The Canadian earnings functions under test," Applied Economics Letters, Taylor & Francis Journals, vol. 4(2), pages 133-139.
    5. Julia Koschinsky & Nancy Lozano-Gracia & Gianfranco Piras, 2012. "The welfare benefit of a home’s location: an empirical comparison of spatial and non-spatial model estimates," Journal of Geographical Systems, Springer, vol. 14(3), pages 319-356, July.
    6. José M. Belbute & Alfredo M. Pereira, 2021. "The Relationship between Consumption and CO 2 Emissions: Evidence for Portugal," Sustainability, MDPI, vol. 13(21), pages 1-16, November.
    7. Julie Le Gallo, 2000. "Spatial econometrics (2, Spatial heterogeneity) [Econométrie spatiale (2, Hétérogénéité spatiale)]," Working Papers hal-01526969, HAL.
    8. Dastoor, Naorayex K., 1997. "Testing for conditional heteroskedasticity with misspecified alternative hypotheses," Journal of Econometrics, Elsevier, vol. 82(1), pages 63-80.
    9. Dennis Ridley & Aryanne de Silva, 2020. "Game Theoretic Choices Between Corrupt Dictatorship Exit Emoluments and Nation-Building CDR Benefits: Is There a Nash Equilibrium?," The American Economist, Sage Publications, vol. 65(1), pages 51-77, March.
    10. Joachim Wagner, 1990. "Le test de fonctions de gains : résultats pour cinq pays," Économie et Prévision, Programme National Persée, vol. 92(1), pages 61-66.
    11. Francisco Cribari-Neto, 1996. "On the Corrections to Information Matrix Tests," Econometrics 9601001, University Library of Munich, Germany.
    12. Antonios ADAMOPOULOS, 2021. "Energy and economic growth. An empirical analysis," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(626), S), pages 151-166, Spring.
    13. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    14. Francisco Cribari-Neto, 1997. "On the corrections to information matrix tests," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 39-53.
    15. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. Jean-Paul Azam & Catherine Bonjean, 1995. "La formation du prix du riz : théorie et application au cas d'Antananarivo (Madagascar) ," Revue Économique, Programme National Persée, vol. 46(4), pages 1145-1166.
    17. Lenten, Liam J.A. & Geerling, Wayne & Kónya, László, 2012. "A hedonic model of player wage determination from the Indian Premier League auction: Further evidence," Sport Management Review, Elsevier, vol. 15(1), pages 60-71.
    18. Anjum, Zeba & Burke, Paul J. & Gerlagh, Reyer & Stern, David I., "undated". "Modeling the Emissions-Income Relationship Using Long-Run Growth Rates," Working Papers 249422, Australian National University, Centre for Climate Economics & Policy.
    19. Stephen Keef & Melvin Roush, 2005. "Day-of-the-week effects in the pre-holiday returns of the Standard & Poor's 500 stock index," Applied Financial Economics, Taylor & Francis Journals, vol. 15(2), pages 107-119.
    20. Tsimpanos, Apostolos & Tsimbos, Cleon & Kalogirou, Stamatis, 2018. "Assessing spatial variation and heterogeneity of fertility in Greece at local authority level," MPRA Paper 100406, University Library of Munich, Germany.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wiw:wiwrsa:ersa10p536. See general information about how to correct material in RePEc.

    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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Gunther Maier (email available below). General contact details of provider: http://www.ersa.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.