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Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
Spatial dependence Heteroskedasticity Cliff–Ord model Two-stage least squares Generalized moments estimation Asymptotics
2015/9/24
This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while a...
Finite sample properties of estimators of spatial autoregressive models with autoregressive disturbances
Spatial autoregressive models ordinary least squares two-stage least squares maximum likelihood finite sample distribution
2015/9/24
The article investigates the finite sample properties of estimators for spatial autoregressive models where the disturbance terms may follow a spatial autoregressive process. In particular we investig...
Cointegrated Vector Autoregressive Models with Adjusted Short-Run Dynamics
Cointegration adjusted short-run dynamics parameter change likelihood ratio test
2010/9/8
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector ...