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A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model
Abstract
This paper is concerned with the estimation of the autoregressive parameter in a widely considered spatial autocorrelation model. The typical estimator for this parameter considered in the literature is the (quasi) maximum likelihood estimator corresponding to a normal density. However, as discussed in this paper, the (quasi) maximum likelihood estimator may not be computationally feasible in many cases involving moderate‐ or large‐sized samples. In this paper we suggest a generalized moments estimator that is computationally simple irrespective of the sample size. We provide results concerning the large and small sample properties of this estimator.
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Citations
Cited by
GMM Estimation with Cross Sectional Dependence
Conley, T. G. (1999) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00084-0 · Cited by 2,685
Anderson, J. E., & van Wincoop, E. (2004) · Journal of Economic Literature · doi:10.1257/0022051042177649 · Cited by 2,524
Comparing Implementations of Estimation Methods for Spatial Econometrics
Bivand, R., & Piras, G. (2015) · Journal of Statistical Software · doi:10.18637/jss.v063.i18 · Cited by 939
Measuring the benefits of air quality improvement: a spatial hedonic approach
Won Kim, C., Phipps, T. T., & Anselin, L. (2003) · Journal of Environmental Economics and Management · doi:10.1016/s0095-0696(02)00013-x · Cited by 710
Halleck Vega, S., & Elhorst, J. P. (2015) · Journal of Regional Science · doi:10.1111/jors.12188 · Cited by 649
Metadata
- Authors
- Kelejian, H. H., & Prucha, I. R.
- Venue
- International Economic Review
- Publisher
- Wiley
- Published
- 1999-05
- Volume
- 40
- Issue
- 2
- Pages
- 509-533
- ISSN
- 0020-6598 (ISSN-L)
- 1468-2354
- OpenAlex
- W2144751663
- Cited by
- 1,476
- References
- 0
- FWCI
- 32.25
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model. https://app.cochat.ai/papers/10.1111/1468-2354.00027
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- Kelejian, H. H., & Prucha, I. R. (1999). A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model. International Economic Review. https://doi.org/10.1111/1468-2354.00027
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