Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
AbstractLikelihood 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.
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Date of creation: Sep 2011
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-07-29 (All new papers)
- NEP-ECM-2012-07-29 (Econometrics)
- NEP-ORE-2012-07-29 (Operations Research)
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