Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/97409
Authors: 
Hillier, Grant
Martellosio, Federico
Year of Publication: 
2013
Series/Report no.: 
cemmap working paper, Centre for Microdata Methods and Practice CWP44/13
Abstract: 
The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004, Econometrica), derived under specific assumptions on the evolution of the spatial weights matrix involved. In this paper we show that the exact cumulative distribution function of the estimator can, under mild assumptions, be written down explicitly. A number of immediate consequences of the main result are discussed, and several examples of theoretical and practical interest are analyzed in detail. The examples are of interest in their own right, but also serve to illustrate some unexpected features of the distribution of the MLE. In particular, we show that the distribution of the MLE may not be supported on the entire parameter space, and may be nonanalytic at some points in its support.
Subjects: 
spatial autoregression
maximum likelihood estimation
group interaction
networks
complete bipartite graph
JEL: 
C12
C21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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