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

Listed:
• 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.

## Suggested Citation

• 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
as

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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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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