A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is
GMM Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances
Social Science Research Network
We consider a spatial econometric model containing a spatial lag in the dependent variable and the disturbance term with an unknown form of heteroskedasticity in innovations. We first prove that the maximum likelihood (ML) estimator for spatial autoregressive models is generally inconsistent when heteroskedasticity is not taken into account in the estimation. We show that the necessary condition for the consistency of the ML estimator of spatial autoregressive parameters depends on thedoi:10.2139/ssrn.2227163 fatcat:jmg35jqvxffhba2xwgpcd6t2xy