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The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models

  • Lee, Lung-fei

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4MJC25J-1/2/491030021ce3a789ac1cecba924f38f4
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 140 (2007)
Issue (Month): 1 (September)
Pages: 155-189

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Handle: RePEc:eee:econom:v:140:y:2007:i:1:p:155-189
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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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 509-33, May.
  2. Smirnov, Oleg & Anselin, Luc, 2001. "Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach," Computational Statistics & Data Analysis, Elsevier, vol. 35(3), pages 301-319, January.
  3. repec:cup:cbooks:9780521252805 is not listed on IDEAS
  4. 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.
  5. 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.
  6. Kelley Pace, R. & Barry, Ronald, 1997. "Sparse spatial autoregressions," Statistics & Probability Letters, Elsevier, vol. 33(3), pages 291-297, May.
  7. Ruud, Paul A., 2000. "An Introduction to Classical Econometric Theory," OUP Catalogue, Oxford University Press, number 9780195111644, March.
  8. 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.
  9. 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.
  10. 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.
  11. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
  12. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
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