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Efficient Estimation of Spatial Autoregressive Models

Author

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  • Théophile AZOMAHOU
Abstract
This paper considers estimating general spatial autoregressive models using the generalized method of moments (GMM). I propose nonparametric estimates of the optimal instruments based on conditional second moment restrictions. I show that these instruments are optimal over all possible instruments, especially over those usually suggested in a spatial context. I provide a nonparametric estimator of sample autocovariances function for irregularly spaced spatial processes, and I show that this estimator converges in probability. I then derive the consistency in norm L_2 of the resulting asymptotic variance matrix estimator. Finally, the asymptotic distribution of the GMM estimator is stated.

Suggested Citation

  • Théophile AZOMAHOU, 2001. "Efficient Estimation of Spatial Autoregressive Models," Working Papers of BETA 2001-05, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    • Handle: RePEc:ulp:sbbeta:2001-05
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    References listed on IDEAS

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    1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
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    6. Harry H. Kelejian & Ingmar R. Prucha, 1997. "Estimation of Spatial Regression Models with Autoregressive Errors by Two-Stage Least Squares Procedures: A Serious Problem," International Regional Science Review, , vol. 20(1-2), pages 103-111, April.
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    8. Théophile AZOMAHOU & Agénor LAHATTE, 2000. "On the Inconsistency of the Ordinary Least Squares Estimator for Spatial Autoregressive Processes," Working Papers of BETA 2000-12, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
    9. repec:umd:umdeco:kelepruc is not listed on IDEAS
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    12. Harry H. Kelejian & Dennis P. Robinson, 1995. "Spatial Correlation: A Suggested Alternative to the Autoregressive Model," Advances in Spatial Science, in: Luc Anselin & Raymond J. G. M. Florax (ed.), New Directions in Spatial Econometrics, chapter 3, pages 75-95, Springer.
    13. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
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    More about this item

    Keywords

    Instrumental variables; Spatial dependence; Nonparametric estimation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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