GEL estimation and tests of spatial autoregressive models
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DOI: 10.1016/j.jeconom.2018.07.007
Abstract: Abstract This paper considers the generalized empirical likelihood (GEL) estimation and tests of high order spatial autoregressive (SAR) models by exploring an inherent martingale structure. The GEL estimator has the same asymptotic distribution as the… read more here.
Keywords: estimator; spatial autoregressive; gel estimation; estimation ... See more keywords