Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5095986 | Journal of Econometrics | 2015 | 17 Pages |
Abstract
This paper examines a Tobit model with spatial autoregressive interactions. We consider the maximum likelihood estimation for this model and analyze asymptotic properties of the estimator based on the spatial near-epoch dependence of the dependent variable process generated from the model structure. We show that the maximum likelihood estimator is consistent and asymptotically normally distributed. Monte Carlo experiments are performed to verify finite sample properties of the estimator.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Xingbai Xu, Lung-fei Lee,