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Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models

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  • Lung-Fei Lee

Abstract

This paper investigates asymptotic properties of the maximum likelihood estimator and the quasi-maximum likelihood estimator for the spatial autoregressive model. The rates of convergence of those estimators may depend on some general features of the spatial weights matrix of the model. It is important to make the distinction with different spatial scenarios. Under the scenario that each unit will be influenced by only a few neighboring units, the estimators may have $\sqrt{n}$ n -rate of convergence and be asymptotically normal. When each unit can be influenced by many neighbors, irregularity of the information matrix may occur and various components of the estimators may have different rates of convergence. Copyright The Econometric Society 2004.

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  • Lung-Fei Lee, 2004. "Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models," Econometrica, Econometric Society, vol. 72(6), pages 1899-1925, November.
  • Handle: RePEc:ecm:emetrp:v:72:y:2004:i:6:p:1899-1925
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    File URL: http://hdl.handle.net/10.1111/j.1468-0262.2004.00558.x
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    References listed on IDEAS

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    1. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, pages 385-426.
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    3. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
    4. repec:cup:etheor:v:13:y:1997:i:5:p:615-45 is not listed on IDEAS
    5. Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
    6. Bergstrom, A. R., 1988. "The History of Continuous-Time Econometric Models," Econometric Theory, Cambridge University Press, vol. 4(03), pages 365-383, December.
    7. Hardle, Wolfgang & Linton, Oliver, 1986. "Applied nonparametric methods," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 38, pages 2295-2339 Elsevier.
    8. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, pages 527-560.
    9. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, pages 527-560.
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