کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
983758 934072 2012 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Approximated likelihood and root estimators for spatial interaction in spatial autoregressive models
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Approximated likelihood and root estimators for spatial interaction in spatial autoregressive models
چکیده انگلیسی

In this paper, we first generalize an approximate measure of spatial dependence, the APLE statistic (Li et al., 2007), to a spatial Durbin (SD) model. This generalized APLE takes into account exogenous variables directly and can be used to detect spatial dependence originating from either a spatial autoregressive (SAR), spatial error (SE) or SD process. However, that measure is not consistent. Secondly, by examining carefully the first order condition of the concentrated log likelihood of the SD (or SAR) model, whose first order approximation generates the APLE, we construct a moment equation quadratic in the autoregressive parameter that generalizes an original estimation approach in Ord (1975) and yields a closed-form consistent root estimator of the autoregressive parameter. With a specific moment equation constructed from an initial consistent estimator, the root estimator can be as efficient as the MLE under normality. Furthermore, when there is unknown heteroskedasticity in the disturbances, we derive a modified APLE and a root estimator which can be robust to unknown heteroskedasticity. The root estimators are computationally much simpler than the quasi-maximum likelihood estimators.


► We generalize the APLE statistic to a spatial Durbin model.
► We derive a closed-form consistent root estimator for spatial interaction.
► A root estimator can be asymptotically efficient and computationally simple.
► We derive modified APLE and root estimators robust to unknown heteroskedasticity.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Regional Science and Urban Economics - Volume 42, Issue 3, May 2012, Pages 446–458
نویسندگان
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