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A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices

Citations

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Cited by:

  1. AMBA OYON, Claude Marius & Mbratana, Taoufiki, 2017. "Simultaneous equation models with spatially autocorrelated error components," MPRA Paper 82395, University Library of Munich, Germany.
  2. Daniel C. Monchuk & Dermot J. Hayes & John A. Miranowski & Dayton M. Lambert, 2011. "Inference Based On Alternative Bootstrapping Methods In Spatial Models With An Application To County Income Growth In The United States," Journal of Regional Science, Wiley Blackwell, vol. 51(5), pages 880-896, December.
  3. Xu, Wan & Lambert, Dayton M., 2011. "Business Establishment Growth in the Appalachian Region, 2000-2007: An Application of Smooth Transition Spatial Process Models," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(3), pages 1-16, August.
  4. Sheena Yu-Hsien Kao & Anil K. Bera, 2018. "Testing spatial regression models under nonregular conditions," Empirical Economics, Springer, vol. 55(1), pages 85-111, August.
  5. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2019. "A time-space dynamic panel data model with spatial moving average errors," Regional Science and Urban Economics, Elsevier, vol. 76(C), pages 13-31.
  6. Baltagi, Badi H. & Fingleton, Bernard & Pirotte, Alain, 2014. "Spatial lag models with nested random effects: An instrumental variable procedure with an application to English house prices," Journal of Urban Economics, Elsevier, vol. 80(C), pages 76-86.
  7. Moscone, Francesco & Tosetti, Elisa, 2009. "GMM estimation of spatial panels," MPRA Paper 16327, University Library of Munich, Germany.
  8. Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2012. "Forecasting with spatial panel data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3381-3397.
  9. Philipp Otto & Wolfgang Schmid, 2018. "Spatiotemporal analysis of German real-estate prices," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 60(1), pages 41-72, January.
  10. Holly, Sean & Hashem Pesaran, M. & Yamagata, Takashi, 2011. "The spatial and temporal diffusion of house prices in the UK," Journal of Urban Economics, Elsevier, vol. 69(1), pages 2-23, January.
  11. Baltagi, Badi H. & Pirotte, Alain, 2010. "Panel data inference under spatial dependence," Economic Modelling, Elsevier, vol. 27(6), pages 1368-1381, November.
  12. Dominik Blatt & Kausik Chaudhuri & Hans Manner, 2021. "Spillover in the UK Housing Market," Graz Economics Papers 2021-13, University of Graz, Department of Economics.
  13. Arnab Bhattacharjee & Sean Holly, 2011. "Structural interactions in spatial panels," Empirical Economics, Springer, vol. 40(1), pages 69-94, February.
  14. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
  15. Eric S. Lin & Ta-Sheng Chou, 2018. "Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form," Econometric Reviews, Taylor & Francis Journals, vol. 37(1), pages 1-28, January.
  16. Osman Doğan, 2015. "Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term," Econometrics, MDPI, vol. 3(1), pages 1-27, February.
  17. Huang, Yongfu, 2014. "Drivers of rising global energy demand: The importance of spatial lag and error dependence," Energy, Elsevier, vol. 76(C), pages 254-263.
  18. Mohamed Mekki Ben Jemaa, 2016. "Economic, Political and Cultural Proximity and Growth Propagation: A Network Model with Endogenous Proximity Matrix," Working Papers 1047, Economic Research Forum, revised 09 Jan 2016.
  19. Bernard Fingleton & Julie Le Gallo, 2008. "Estimating spatial models with endogenous variables, a spatial lag and spatially dependent disturbances: Finite sample properties," Papers in Regional Science, Wiley Blackwell, vol. 87(3), pages 319-339, August.
  20. Hamed SAMBO, 2018. "Understanding the effect of international remittances on undernourishment in Sub-Saharan Africa: A spatial model approach," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 47, pages 43-61.
  21. Torben Klarl, 2014. "Is Spatial Bootstrapping A Panacea For Valid Inference?," Journal of Regional Science, Wiley Blackwell, vol. 54(2), pages 304-312, March.
  22. Pedro Amaral & Mauro Lemos & Rodrigo Simões & Flávia Chein, 2010. "Regional Imbalances and Market Potential in Brazil," Spatial Economic Analysis, Taylor & Francis Journals, vol. 5(4), pages 463-482.
  23. Fingleton, Bernard & Palombi, Silvia, 2013. "Spatial panel data estimation, counterfactual predictions, and local economic resilience among British towns in the Victorian era," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 649-660.
  24. Robert Garthoff & Philipp Otto, 2017. "Control charts for multivariate spatial autoregressive models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 101(1), pages 67-94, January.
  25. David A. McGranahan & Timothy R. Wojan & Dayton M. Lambert, 2011. "The rural growth trifecta: outdoor amenities, creative class and entrepreneurial context -super-§," Journal of Economic Geography, Oxford University Press, vol. 11(3), pages 529-557, May.
  26. 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.
  27. Filippova, Olga & Sheng, Mingyue, 2020. "Impact of bus rapid transit on residential property prices in Auckland, New Zealand," Journal of Transport Geography, Elsevier, vol. 86(C).
  28. Bing Zhu & Stanimira Milcheva, 2020. "The Pricing of Spatial Linkages in Companies’ Underlying Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 443-475, October.
  29. Doğan, Osman & Taşpınar, Süleyman, 2013. "GMM estimation of spatial autoregressive models with moving average disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 903-926.
  30. Moscone, F. & Tosetti, E., 2011. "GMM estimation of spatial panels with fixed effects and unknown heteroskedasticity," Regional Science and Urban Economics, Elsevier, vol. 41(5), pages 487-497, September.
  31. Myriam Tabasso & Giuseppe Arbia, 2013. "Spatial Econometric Modelling Of Massive Datasets: The Contribution Of Data Mining," ERSA conference papers ersa13p1004, European Regional Science Association.
  32. Arnab Bhattacharjee & Sean Holly, 2011. "Structural interactions in spatial panels," Empirical Economics, Springer, vol. 40(1), pages 69-94, February.
  33. Brady, Ryan R., 2014. "The spatial diffusion of regional housing prices across U.S. states," Regional Science and Urban Economics, Elsevier, vol. 46(C), pages 150-166.
  34. Vincenzo Del Giudice & Francesca Salvo & Pierfrancesco De Paola, 2018. "Resampling Techniques for Real Estate Appraisals: Testing the Bootstrap Approach," Sustainability, MDPI, vol. 10(9), pages 1-16, August.
  35. Bing Su & Fukang Zhu & Ke Zhu, 2023. "Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables," Papers 2301.06658, arXiv.org.
  36. 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.
  37. Atreya, Ajita & Susana, Ferreira, 2012. "Analysis of Spatial Variation in Flood Risk Perception," 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama 119738, Southern Agricultural Economics Association.
  38. Ren, Xiaohang & Lu, Zudi & Cheng, Cheng & Shi, Yukun & Shen, Jian, 2019. "On dynamic linkages of the state natural gas markets in the USA: Evidence from an empirical spatio-temporal network quantile analysis," Energy Economics, Elsevier, vol. 80(C), pages 234-252.
  39. AMBA OYON, Claude Marius & Mbratana, Taoufiki, 2018. "Simultaneous Generalized Method of Moments Estimator for Panel Data Models with Spatially Correlated Error Components," MPRA Paper 84746, University Library of Munich, Germany.
  40. Moscone, Francesco & Tosetti, Elisa, 2010. "GMM estimation of Spatial Panels with Fixed Effects," MPRA Paper 20152, University Library of Munich, Germany.
  41. Atreya, Ajita & Ferreira, Susana, 2012. "Spatial Variation in Flood Risk Perception: A Spatial Econometric Approach," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124863, Agricultural and Applied Economics Association.
  42. 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.
  43. Moscone, Francesco & Tosetti, Elisa & Canepa, Alessandra, 2014. "Real estate market and financial stability in US metropolitan areas: A dynamic model with spatial effects," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 129-146.
  44. Marcos Herrera & Manuel Ruiz & Jesús Mur, 2013. "Detecting Dependence Between Spatial Processes," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(4), pages 469-497, February.
  45. Luc Anselin, 2010. "Thirty years of spatial econometrics," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 3-25, March.
  46. Sabina Buczkowska & Nicolas Coulombel & Matthieu Lapparent, 2019. "A comparison of Euclidean Distance, Travel Times, and Network Distances in Location Choice Mixture Models," Networks and Spatial Economics, Springer, vol. 19(4), pages 1215-1248, December.
  47. Xu, Wan & Khachatryan, Hayk, 2013. "The Impact of Integrated Pest Management Practices on U.S. National Nursery Industry Annul Sales Revenue: An Application of Smooth Transition Spatial Autoregressive Models," 2013 Annual Meeting, February 2-5, 2013, Orlando, Florida 142961, Southern Agricultural Economics Association.
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