Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with Moving Average Disturbance Term
In this study, I investigate the necessary condition for consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I provide simulation results to evaluate the performance of the MLE. The simulation results indicate that the MLE imposes a substantial amount of bias on both autoregressive and moving average parameters.
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| Length: | 33 |
| Date of creation: | 16 Dec 2013 |
| Handle: | RePEc:cgc:wpaper:002 |
| Contact details of provider: | Postal: 365 5th Avenue, 5th Floor, New York, NY 10026 Phone: (212) 817-8255 Fax: (212) 817-1514 Web page: http://www.gc.cuny.edu/economics More information through EDIRC
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References listed on IDEAS
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- 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.
- Harry H. Kelejian & Ingmar R. Prucha, 1997. "A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," Electronic Working Papers 97-002, University of Maryland, Department of Economics, revised Aug 1997.
- Abadir,Karim M. & Magnus,Jan R., 2005. "Matrix Algebra," Cambridge Books, Cambridge University Press, number 9780521537469, November.
- Baltagi, Badi H. & Liu, Long, 2011. "An improved generalized moments estimator for a spatial moving average error model," Economics Letters, Elsevier, vol. 113(3), pages 282-284.
- Elhorst, J. Paul & Lacombe, Donald J. & Piras, Gianfranco, 2012. "On model specification and parameter space definitions in higher order spatial econometric models," Regional Science and Urban Economics, Elsevier, vol. 42(1-2), pages 211-220.
- Osman Dogan & Suleyman Taspinar, 2013. "GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," Working Papers 1, City University of New York Graduate Center, Ph.D. Program in Economics.
- James P. Lesage, 1997. "Bayesian Estimation of Spatial Autoregressive Models," International Regional Science Review, , vol. 20(1-2), pages 113-129, April.
- repec:cup:cbooks:9780521822893 is not listed on IDEAS
- Lee, Lung-fei & Liu, Xiaodong, 2010. "Efficient Gmm Estimation Of High Order Spatial Autoregressive Models With Autoregressive Disturbances," Econometric Theory, Cambridge University Press, vol. 26(01), pages 187-230, February.
- Lin, Xu & Lee, Lung-fei, 2010. "GMM estimation of spatial autoregressive models with unknown heteroskedasticity," Journal of Econometrics, Elsevier, vol. 157(1), pages 34-52, July.
- Liu, Xiaodong & Lee, Lung-fei & Bollinger, Christopher R., 2010. "An efficient GMM estimator of spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 159(2), pages 303-319, December.
- Arnold, Matthias & Wied, Dominik, 2010. "Improved GMM estimation of the spatial autoregressive error model," Economics Letters, Elsevier, vol. 108(1), pages 65-68, July. Full references (including those not matched with items on IDEAS)
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