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Title:GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances PDF Logo
Authors:Badinger, Harald
Egger, Peter
Issue Date:2008
Series/Report no.:CESifo working paper 2356
Abstract:This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial autoregressive disturbances of arbitrary (finite) order (SARAR(R,S)). We derive the moment conditions and the optimal weighting matrix for a generalized moments (GM) estimation procedure of the spatial regressive parameters of the disturbance process and define a generalized two-stages least squares estimator for the regression parameters of the model. We prove consistency of the proposed estimators, derive their (joint) asymptotic distribution, and provide Monte Carlo evidence on their small sample performance.
Subjects:Higher-order spatial dependence
eteroskedasticity
two-stages least squares
generalized moments estimation
asymptotics
JEL:C21
C31
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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