Artikel
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
In this study, I investigate the necessary condition for the 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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 1 ; Pages: 101-127 ; Basel: MDPI
Klassifikation
Wirtschaft
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Estimation: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Thema
spatial dependence
spatial moving average
spatial autoregressive
maximum likelihood estimator
MLE
asymptotics
heteroskedasticity
SARMA(1,1)
spatial moving average
spatial autoregressive
maximum likelihood estimator
MLE
asymptotics
heteroskedasticity
SARMA(1,1)
Ereignis
Geistige Schöpfung
(wer)
Doğan, Osman
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2015
- DOI
-
doi:10.3390/econometrics3010101
- Handle
- Letzte Aktualisierung
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12.07.2024, 13:20 MESZ
Objekttyp
- Artikel
Beteiligte
- Doğan, Osman
- MDPI
Entstanden
- 2015
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