Efficient estimation of the semiparametric spatial autoregressive model

By Peter M. Robinson. 2006

57 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/12f4c0b4208b202c748a2fe2e2b4ab7a099d6afe

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In Economics and Econometrics

1. Liangjun Su
2. Zhenlin Yang
3. Lung-fei Lee
4. Xiaodong Liu
5. C. Bollinger
6. Jihai Yu
7. Yiguo Sun
8. J. Paul Elhorst

Citations in the corpus

• Correlation Testing in Time Series, Spatial and Cross-Sectional Data (2007, unknown): “Under similar conditions, Robinson (2006) has developed asymptotic theory for e¢ cient estimates when the innovations in the spatial AR model are not necessarily normally distributed, both in case of a parametric model for their distribution, and a nonparametric one.”
• An efficient GMM estimator of spatial autoregressive models (2010, background): “In Robinson (2010), he also focuses on such a ‘‘many neighbors’’ case by assuming that the spatial weights matrix Wn has nonnegative elements that are uniformly of order O(1/hn), where hn increases with the sample size n such that (1) hn/n1/2 → ∞ as n → ∞, or (2) hn → ∞ as n → ∞ and either Wn is…”
• Instrumental Variable Quantile Estimation of Spatial Autoregressive Models (2007, methodology): “Robinson (2010) proposed an efficient estimator for the semiparametric spatial autoregressive model. where Uτn ≡ (uτn,1, · · · , uτn,n)0 and uτn,i ≡ yn,i − x0n,iβ0τ satisfying the quantile restriction Pr(uτn,i ≤ 0 | xn,i) = τ ∀i = 1, · · · , n. (1.3) Here and below for notational simplicity we will…”
• Inference on Higher-Order Spatial Autoregressive Models with Increasingly Many Parameters (2015, unknown): “…it is computationally simpler than procedures which may have better statistical properties, such as generalized method of moments (Kelejian and Prucha (1999) and Lee and Liu (2010)), optimal IV (Lee (2003)), Gaussian pseudo maximum likelihood (Lee (2004)), and adaptive estimation (Robinson (2010)).”
• A general method for third-order bias and variance corrections on a nonlinear estimator (2015, unknown): “…et al. (1993), Besley and Case (1995), Brueckner (1998), Anselin and Bera (1998), Kelejian and Prucha (1998, 1999, 2001), Bell and Bockstael (2000), Bertrand, et al. (2000), Topa (2001), Lee (2002, 2003, 2004a, 2007a,b), Mynbaev and Ullah (2008), Robinson (2010), Su and Jin (2010), Su (2012), etc..”