Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix

C-Tier
Journal: Economics Letters
Year: 2021
Volume: 208
Issue: C

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

This paper studies the GMM estimation with the best linear and quadratic moments for a spatial autoregressive model with an endogenous spatial weights matrix. The proposed estimator is asymptotically more efficient than the QML estimator when the disturbances are non-normal.

Technical Details

RePEc Handle
repec:eee:ecolet:v:208:y:2021:i:c:s0165176521003670
Journal Field
General
Author Count
2
Added to Database
2026-01-25