Arbeitspapier
Properties of the maximum likelihood estimator in spatial autoregressive models
The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004, Econometrica), derived under specific assumptions on the evolution of the spatial weights matrix involved. In this paper we show that the exact cumulative distribution function of the estimator can, under mild assumptions, be written down explicitly. A number of immediate consequences of the main result are discussed, and several examples of theoretical and practical interest are analyzed in detail. The examples are of interest in their own right, but also serve to illustrate some unexpected features of the distribution of the MLE. In particular, we show that the distribution of the MLE may not be supported on the entire parameter space, and may be nonanalytic at some points in its support.
- Language
-
Englisch
- Bibliographic citation
-
Series: cemmap working paper ; No. CWP44/13
- Classification
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
- Subject
-
spatial autoregression
maximum likelihood estimation
group interaction
networks
complete bipartite graph
- Event
-
Geistige Schöpfung
- (who)
-
Hillier, Grant
Martellosio, Federico
- Event
-
Veröffentlichung
- (who)
-
Centre for Microdata Methods and Practice (cemmap)
- (where)
-
London
- (when)
-
2013
- DOI
-
doi:10.1920/wp.cem.2013.4413
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hillier, Grant
- Martellosio, Federico
- Centre for Microdata Methods and Practice (cemmap)
Time of origin
- 2013
Other Objects (12)
Maximum Likelihood Estimator for Choice-Based Samples
A Generalized Poisson-Pseudo Maximum Likelihood Estimator
Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Maximum-likelihood estimation in a special integer autoregressive model
On convergence of the maximum likelihood estimator in adaptive designs
On the maximum likelihood estimator for the generalized extreme-value distribution
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Weak convergence of a pseudo maximum likelihood estimator for the extremal index
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Classical iterative proportional scaling of log-linear models with rational maximum likelihood estimator
Maximum Likelihood Estimator for Choice-Based Samples
A Generalized Poisson-Pseudo Maximum Likelihood Estimator
Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Maximum-likelihood estimation in a special integer autoregressive model
On convergence of the maximum likelihood estimator in adaptive designs
On the maximum likelihood estimator for the generalized extreme-value distribution
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Weak convergence of a pseudo maximum likelihood estimator for the extremal index
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity
Classical iterative proportional scaling of log-linear models with rational maximum likelihood estimator
Maximum Likelihood Estimator for Choice-Based Samples
A Generalized Poisson-Pseudo Maximum Likelihood Estimator
Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal but Heteroskedastic Disturbances
Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Maximum-likelihood estimation in a special integer autoregressive model
On convergence of the maximum likelihood estimator in adaptive designs
On the maximum likelihood estimator for the generalized extreme-value distribution
Maximum Likelihood Estimators for Markov Switching Autoregressive Processes with ARCH Component
Quasi-maximum likelihood estimation in generalized polynomial autoregressive conditional heteroscedasticity models
Weak convergence of a pseudo maximum likelihood estimator for the extremal index
Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity