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Finite sample properties of maximum likelihood estimator in spatial models

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Cited by:

  1. Kyriacou, Maria & Phillips, Peter C.B. & Rossi, Francesca, 2023. "Continuously Updated Indirect Inference In Heteroskedastic Spatial Models," Econometric Theory, Cambridge University Press, vol. 39(1), pages 107-145, February.
  2. Yang, Zhenlin, 2015. "A general method for third-order bias and variance corrections on a nonlinear estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 178-200.
  3. Grant Hillier & Federico Martellosio, 2013. "Properties of the maximum likelihood estimator in spatial autoregressive models," CeMMAP working papers 44/13, Institute for Fiscal Studies.
  4. Christoph Strumann, 2019. "Hodges–Lehmann Estimation of Static Panel Models with Spatially Correlated Disturbances," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 141-168, January.
  5. Yu, Dalei & Ding, Chang & He, Na & Wang, Ruiwu & Zhou, Xiaohua & Shi, Lei, 2019. "Robust estimation and confidence interval in meta-regression models," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 93-118.
  6. Leopoldo Catania & Anna Gloria Billé, 2017. "Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1178-1196, September.
  7. Shew Fan Liu & Zhenlin Yang, 2015. "Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model," Econometrics, MDPI, vol. 3(2), pages 1-36, May.
  8. Mustafa Koroglu & Yiguo Sun, 2016. "Functional-Coefficient Spatial Durbin Models with Nonparametric Spatial Weights: An Application to Economic Growth," Econometrics, MDPI, vol. 4(1), pages 1-16, February.
  9. Rossi, Francesca & Robinson, Peter M., 2023. "Higher-order least squares inference for spatial autoregressions," Journal of Econometrics, Elsevier, vol. 232(1), pages 244-269.
  10. Anna Gloria Billé & Samantha Leorato, 2017. "Quasi-ML estimation, Marginal Effects and Asymptotics for Spatial Autoregressive Nonlinear Models," BEMPS - Bozen Economics & Management Paper Series BEMPS44, Faculty of Economics and Management at the Free University of Bozen.
  11. Robinson, Peter M. & Rossi, Francesca, 2015. "Refinements in maximum likelihood inference on spatial autocorrelation in panel data," Journal of Econometrics, Elsevier, vol. 189(2), pages 447-456.
  12. Grant Hillier & Federico Martellosio, 2013. "Properties of the maximum likelihood estimator in spatial autoregressive models," CeMMAP working papers CWP44/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. Yong Bao & Aman Ullah, 2021. "Analytical Finite Sample Econometrics: From A. L. Nagar to Now," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 17-37, December.
  14. Kyoo Il Kim, 2016. "Higher Order Bias Correcting Moment Equation for M-Estimation and Its Higher Order Efficiency," Econometrics, MDPI, vol. 4(4), pages 1-19, December.
  15. Robinson, Peter M. & Rossi, Francesca, 2015. "Refined Tests For Spatial Correlation," Econometric Theory, Cambridge University Press, vol. 31(6), pages 1249-1280, December.
  16. Kazuhiko Kakamu & Hajime Wago, 2008. "Small-sample Properties of Panel Spatial Autoregressive Models: Comparison of the Bayesian and Maximum Likelihood MethodsAn earlier version of this paper was presented at the 2007 Fall meeting of Japa," Spatial Economic Analysis, Taylor & Francis Journals, vol. 3(3), pages 305-319.
  17. Anna Gloria Billé & Leopoldo Catania, 2018. "Dynamic Spatial Autoregressive Models with Time-varying Spatial Weighting Matrices," BEMPS - Bozen Economics & Management Paper Series BEMPS55, Faculty of Economics and Management at the Free University of Bozen.
  18. David M. Drukker & Peter Egger & Ingmar R. Prucha, 2013. "On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 686-733, August.
  19. Kelejian, Harry H. & Prucha, Ingmar R., 2010. "Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Econometrics, Elsevier, vol. 157(1), pages 53-67, July.
  20. Badi H. Baltagi & Long Liu, 2015. "Testing for Spacial Lag and Spatial Error Dependence in a Fixed Effects Panel Data Model Using Double Length Artificial Regressions," Center for Policy Research Working Papers 183, Center for Policy Research, Maxwell School, Syracuse University.
  21. Jesús Mur & Fernando López & Ana Angulo, 2009. "Testing the hypothesis of stability in spatial econometric models," Papers in Regional Science, Wiley Blackwell, vol. 88(2), pages 409-444, June.
  22. Joris Pinkse & Margaret E. Slade, 2010. "The Future Of Spatial Econometrics," Journal of Regional Science, Wiley Blackwell, vol. 50(1), pages 103-117, February.
  23. Federico Martellosio & Grant Hillier, 2019. "Adjusted QMLE for the spatial autoregressive parameter," Papers 1909.08141, arXiv.org.
  24. Liu, Shew Fan & Yang, Zhenlin, 2015. "Improved inferences for spatial regression models," Regional Science and Urban Economics, Elsevier, vol. 55(C), pages 55-67.
  25. Yu, Dalei & Bai, Peng & Ding, Chang, 2015. "Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias," Computational Statistics & Data Analysis, Elsevier, vol. 87(C), pages 116-135.
  26. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
  27. Francesca Rossi & Peter M. Robinson, 2020. "Higher-Order Least Squares Inference for Spatial Autoregressions," Working Papers 04/2020, University of Verona, Department of Economics.
  28. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
  29. Paul Rilstone, 2021. "Higher-Order Stochastic Expansions and Approximate Moments for Non-linear Models with Heterogeneous Observations," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 99-120, December.
  30. Giuseppe Arbia, 2011. "A Lustrum of SEA: Recent Research Trends Following the Creation of the Spatial Econometrics Association (2007--2011)," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(4), pages 377-395, July.
  31. Maria Kyriacou & Peter C. B. Phillips & Francesca Rossi, 2017. "Indirect inference in spatial autoregression," Econometrics Journal, Royal Economic Society, vol. 20(2), pages 168-189, June.
  32. Yang, Zhenlin & Yu, Jihai & Liu, Shew Fan, 2016. "Bias correction and refined inferences for fixed effects spatial panel data models," Regional Science and Urban Economics, Elsevier, vol. 61(C), pages 52-72.
  33. Maria Kyriacou & Peter C. B. Phillips & Francesca Rossi, 2017. "Indirect inference in spatial autoregression," Econometrics Journal, Royal Economic Society, vol. 20(2), pages 168-189, June.
  34. J. Paul Elhorst, 2022. "The dynamic general nesting spatial econometric model for spatial panels with common factors: Further raising the bar," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 42(3), pages 249-267, December.
  35. Martellosio, Federico & Hillier, Grant, 2020. "Adjusted QMLE for the spatial autoregressive parameter," Journal of Econometrics, Elsevier, vol. 219(2), pages 488-506.
  36. Bo Pieter Johannes Andree & Francisco Blasques & Eric Koomen, 2017. "Smooth Transition Spatial Autoregressive Models," Tinbergen Institute Discussion Papers 17-050/III, Tinbergen Institute.
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