A note on the existence and uniqueness of quasi-maximum likelihood estimators for mixed regressive, spatial autoregression models
This note studies the existence and uniqueness of quasi-maximum likelihood estimator for mixed regressive, spatial autoregression model with continuously distributed response vector. Under very mild conditions that n>rank(Xn)+1 (n is the sample size and Xn is the n×p constant matrix of regressors), we show that the quasi-likelihood function has exactly one maximum with probability one in the parameter space.
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Volume (Year): 83 (2013)
Issue (Month): 2 ()
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References listed on IDEAS
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- Harry H. Kelejian & Ingmar R. Prucha, 1995. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," Electronic Working Papers 95-001, University of Maryland, Department of Economics, revised Mar 1997.
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