Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Econometric Models II: Mixed Regressive, Spatial Autoregressive Models

By Lung-fei Lee. 2001

70 citations recorded by the source corpus.

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Citations in the corpus

Estimation of spatial autoregressive panel data models with fixed effects (2010, methodology): “For the cross section SAR model with i.i.d. disturbances, Lee (2004) shows that when GnXnβ0 is asymptotically multicollinear with Xn, the information matrix is asymptotically singular and theMLEs ofβ0 andλ0will have a lower rate of convergence.”
Spatial Heteroskedasticity and Autocorrelation Consistent Estimation of Covariance Matrix (2011, methodology): “The concentrated log-likelihood function for the spatial AR(1) process is logL(ûnj ) = n 2 log (ûn Wnûn)0 (ûn Wnûn) + log jIn Wnj+ const: See Lee (2004).”
GMM estimation of social interaction models with centrality (2010, methodology): “Then, with (14), U = U1 + U2 where U1 = Pm 1 i=1 (̂ 0) <i> 1p n z01Ki( 0)A = op(1), because 1p n z01Ki ( 0)A = Op(1) by Lee (2004), and U2 = (̂ 0) <m> 1p n z01Km(̂)A .”
FIXED-b ASYMPTOTICS FOR SPATIALLY DEPENDENT ROBUST NONPARAMETRIC COVARIANCE MATRIX ESTIMATORS (2014, background): “Our results extend to many scenarios where only a subset of locations are observed/sampled in an exogenous manner, independent of the process si, j (θ0).”
Cross-Sectional Dependence in Panel Data Analysis (2012, methodology): “These spatial models can be estimated using a generalized method of moments (GMM) approach (see e.g. Kapoor, Kelejian and Prucha, 2007; Kelejian and Prucha, 2009), or a method based on maximum likelihood (e.g. Lee, 2004).”
Some recent developments in spatial panel data models (2010, methodology): “However, Lee (2004) has shown that the MLE can be consistent for the QML approach when the disturbances are i.i.d. (0, σ02) without normality.”
EFFICIENT GMM ESTIMATION OF HIGH ORDER SPATIAL AUTOREGRESSIVE MODELS WITH AUTOREGRESSIVE DISTURBANCES (2009, background): “But with the uniform boundedness of Wjn’s and Mkn’s, S−1n (λ) and R−1n (ρ) will also be uniformly bounded, uniformly in a neighbor of λ0 and ρ0, respectively (Lee, 2004).”
ESTIMATION OF UNIT ROOT SPATIAL DYNAMIC PANEL DATA MODELS (2010, background): “Assumption 7 is originated by Kelejian and Prucha (1998, 2001) and also used in Lee (2004, 2007).”
Efficient Minimum Distance Estimation with Multiple Rates of Convergence (2012, unknown): “Lee (2004) considers infill asymptotic for spatial data where a unit can be influenced by many neighbors.”