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Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence

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  • Iglesias, Emma M.
  • Phillips, Garry D.A.

Abstract

Newey and Smith [Newey, W.K., Smith, R.J., 2004. Higher order properties of GMM and empirical likelihood estimators. Econometrica 72, 219-255] analyzed the second order biases of GMM and GEL estimators under independence. Anatolyev [Anatolyev, S., 2005. GMM, GEL, serial correlation, and asymptotic bias. Econometrica 73 (3), 983-1002] extended the result to the case of stationarity with serial correlation and strong mixing. We generalize the two previous papers by assuming a weaker dependence assumption and possible nonstationarity.

Suggested Citation

  • Iglesias, Emma M. & Phillips, Garry D.A., 2008. "Asymptotic bias of GMM and GEL under possible nonstationary spatial dependence," Economics Letters, Elsevier, vol. 99(2), pages 393-397, May.
  • Handle: RePEc:eee:ecolet:v:99:y:2008:i:2:p:393-397
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    References listed on IDEAS

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    1. Stanislav Anatolyev, 2005. "GMM, GEL, Serial Correlation, and Asymptotic Bias," Econometrica, Econometric Society, vol. 73(3), pages 983-1002, May.
    2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    3. Whitney K. Newey & Richard J. Smith, 2004. "Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators," Econometrica, Econometric Society, vol. 72(1), pages 219-255, January.
    4. Pinkse, Joris & Shen, Lihong & Slade, Margaret, 2007. "A central limit theorem for endogenous locations and complex spatial interactions," Journal of Econometrics, Elsevier, vol. 140(1), pages 215-225, September.
    5. Joris Pinkse & Margaret Slade & Lihong Shen, 2006. "Dynamic Spatial Discrete Choice Using One-step GMM: An Application to Mine Operating Decisions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(1), pages 53-99.
    6. Ekstrom, Magnus & Luna, Sara Sjostedt-De, 2004. "Subsampling Methods to Estimate the Variance of Sample Means Based on Nonstationary Spatial Data With Varying Expected Values," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 82-95, January.
    7. Yuichi Kitamura & Michael Stutzer, 1997. "An Information-Theoretic Alternative to Generalized Method of Moments Estimation," Econometrica, Econometric Society, vol. 65(4), pages 861-874, July.
    8. 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.
    9. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    10. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
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    Cited by:

    1. Joris Pinkse & Margaret Slade & Lihong Shen, 2006. "Dynamic Spatial Discrete Choice Using One-step GMM: An Application to Mine Operating Decisions," Spatial Economic Analysis, Taylor & Francis Journals, vol. 1(1), pages 53-99.
    2. Smirnov, Oleg A., 2010. "Modeling spatial discrete choice," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 292-298, September.
    3. Joris Pinkse & Margaret E. Slade, 2010. "The Future Of Spatial Econometrics," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 103-117.

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