Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models

A-Tier
Journal: Journal of Econometrics
Year: 2010
Volume: 157
Issue: 1
Pages: 18-33

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

We propose profile quasi-maximum likelihood estimation of spatial autoregressive models that are partially linear. The rate of convergence of the spatial parameter estimator depends on some general features of the spatial weight matrix of the model. The estimators of other finite-dimensional parameters in the model have the regular -rate of convergence and the estimator of the nonparametric component is consistent but with different restrictions on the choice of bandwidth parameter associated with different natures of the spatial weights. Monte Carlo simulations verify our theory and indicate that our estimators perform reasonably well in finite samples.

Technical Details

RePEc Handle
repec:eee:econom:v:157:y:2010:i:1:p:18-33
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25