Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term

Osman Doğan*

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6 Atıf (Scopus)

Özet

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I provide simulation results to evaluate the performance of the MLE. The simulation results indicate that the MLE imposes a substantial amount of bias on both autoregressive and moving average parameters.

Orijinal dilİngilizce
Sayfa (başlangıç-bitiş)101-127
Sayfa sayısı27
DergiEconometrics
Hacim3
Basın numarası1
DOI'lar
Yayın durumuYayınlandı - Mar 2015
Harici olarak yayınlandıEvet

Bibliyografik not

Publisher Copyright:
© 2015 by the author; licensee MDPI, Basel, Switzerland.

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