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HAC estimation in a spatial framework

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  • Kelejian, Harry H.
  • Prucha, Ingmar R.

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  • Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
  • Handle: RePEc:eee:econom:v:140:y:2007:i:1:p:131-154
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    References listed on IDEAS

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    1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
    2. Besley, Timothy & Case, Anne, 1995. "Incumbent Behavior: Vote-Seeking, Tax-Setting, and Yardstick Competition," American Economic Review, American Economic Association, vol. 85(1), pages 25-45, March.
    3. Holtz-Eakin, Douglas, 1994. "Public-Sector Capital and the Productivity Puzzle," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 12-21, February.
    4. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-965, July.
    5. Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
    6. Joris Pinkse & Margaret E. Slade & Craig Brett, 2002. "Spatial Price Competition: A Semiparametric Approach," Econometrica, Econometric Society, vol. 70(3), pages 1111-1153, May.
    7. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
    8. Harry H. Kelejian & Dennis P. Robinson, 2000. "Returns to investment in navigation infrastructure: An equilibrium approach," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 34(1), pages 83-108.
    9. Gneiting, Tilmann, 2002. "Compactly Supported Correlation Functions," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 493-508, November.
    10. Bollinger, Christopher R. & Ihlanfeldt, Keith R., 1997. "The Impact of Rapid Rail Transit on Economic Development: The Case of Atlanta's MARTA," Journal of Urban Economics, Elsevier, vol. 42(2), pages 179-204, September.
    11. Kathleen P. Bell & Nancy E. Bockstael, 2000. "Applying the Generalized-Moments Estimation Approach to Spatial Problems Involving Microlevel Data," The Review of Economics and Statistics, MIT Press, vol. 82(1), pages 72-82, February.
    12. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
    13. Baltagi, Badi H. & Song, Seuck Heun & Koh, Won, 2003. "Testing panel data regression models with spatial error correlation," Journal of Econometrics, Elsevier, vol. 117(1), pages 123-150, November.
    14. Potscher, Benedikt M. & Prucha, Ingmar R., 1986. "A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations," Journal of Econometrics, Elsevier, vol. 32(2), pages 219-251, July.
    15. 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.
    16. Badi Baltagi & Dong Li, 2001. "Double Length Artificial Regressions For Testing Spatial Dependence," Econometric Reviews, Taylor & Francis Journals, vol. 20(1), pages 31-40.
    17. John C. Driscoll & Aart C. Kraay, 1998. "Consistent Covariance Matrix Estimation With Spatially Dependent Panel Data," The Review of Economics and Statistics, MIT Press, vol. 80(4), pages 549-560, November.
    18. Montserrat Fuentes, 2002. "Spectral methods for nonstationary spatial processes," Biometrika, Biometrika Trust, vol. 89(1), pages 197-210, March.
    19. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 27-50.
    20. Robert M. De Jong & James Davidson, 2000. "Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices," Econometrica, Econometric Society, vol. 68(2), pages 407-424, March.
    21. Dowd, Michael R. & LeSage, James P., 1997. "Analysis of spatial contiguity influences on state price level formation," International Journal of Forecasting, Elsevier, vol. 13(2), pages 245-253, June.
    22. Shroder, Mark, 1995. "Games the States Don't Play: Welfare Benefits and the Theory of Fiscal Federalism," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 183-191, February.
    23. Kelejian, Harry H. & Prucha, Ingmar R., 2002. "2SLS and OLS in a spatial autoregressive model with equal spatial weights," Regional Science and Urban Economics, Elsevier, vol. 32(6), pages 691-707, November.
    24. Kelley Pace, R. & Barry, Ronald, 1997. "Sparse spatial autoregressions," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 291-297, May.
    25. H. Kelejian, Harry & Prucha, Ingmar R., 2001. "On the asymptotic distribution of the Moran I test statistic with applications," Journal of Econometrics, Elsevier, vol. 104(2), pages 219-257, September.
    26. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
    27. Lung-fei Lee, 2003. "Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 307-335.
    28. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
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