Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171819
Authors: 
Doğan, Osman
Year of Publication: 
2015
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 3 [Year:] 2015 [Issue:] 1 [Pages:] 101-127
Abstract: 
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.
Subjects: 
spatial dependence
spatial moving average
spatial autoregressive
maximum likelihood estimator
MLE
asymptotics
heteroskedasticity
SARMA(1,1)
JEL: 
C13
C21
C31
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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