Identification and QML estimation of multivariate and simultaneous equations spatial autoregressive models

A-Tier
Journal: Journal of Econometrics
Year: 2017
Volume: 196
Issue: 1
Pages: 196-214

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper investigates a simultaneous equations spatial autoregressive model which incorporates simultaneity effects, own-variable spatial lags and cross-variable spatial lags as explanatory variables, and allows for correlation between disturbances across equations. In exposition, we also discuss a multivariate spatial autoregressive model that can be treated as a reduced form of the simultaneous equations model. We study parameter spaces, parameter identification, asymptotic properties of the quasi-maximum likelihood estimation, and computational issues. Monte Carlo experiments illustrate the advantages of the QML, broader applicability and efficiency, compared to instrumental variables based estimation methods in the existing literature.

Technical Details

RePEc Handle
repec:eee:econom:v:196:y:2017:i:1:p:196-214
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25