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Estimation of Partially Specified Spatial Autoregressive Model

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  • Zhang Yuanqing

    (College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao266510, China)

Abstract

In this paper, we study estimation of a partially specified spatial autoregressive model with heteroskedasticity error term. Under the assumption of exogenous regressors and exogenous spatial weighting matrix, we propose an instrumental variable estimation. Under some sufficient conditions, we show that the proposed estimator for the finite dimensional parameter is root-n consistent and asymptotically normally distributed and the proposed estimator for the unknown function is consistent and also asymptotically distributed though at a rate slower than root-n. Monte Carlo simulations verify our theory and the results suggest that the proposed method has some practical value.

Suggested Citation

  • Zhang Yuanqing, 2014. "Estimation of Partially Specified Spatial Autoregressive Model," Journal of Systems Science and Information, De Gruyter, vol. 2(3), pages 226-235, June.
    • Handle: RePEc:bpj:jossai:v:2:y:2014:i:3:p:226-235:n:4
    DOI: 10.1515/JSSI-2014-0226
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    References listed on IDEAS

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