Journal
JOURNAL OF ECONOMETRICS
Volume 157, Issue 1, Pages 34-52Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2009.10.035
Keywords
Spatial autoregression; Unknown heteroskedasticity; Robustness; Consistent covariance matrix; GMM
Categories
Funding
- NSF [0519204]
- Direct For Social, Behav & Economic Scie
- Divn Of Social and Economic Sciences [0519204] Funding Source: National Science Foundation
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In the presence of heteroskedastic disturbances, the MLE for the SAR models without taking into account the heteroskedasticity is generally inconsistent. The 2SLS estimates can have large variances and biases for cases where regressors do not have strong effects. In contrast, GMM estimators obtained from certain moment conditions can be robust. Asymptotically valid inferences can be drawn with consistently estimated covariance matrices. Efficiency can be improved by constructing the optimal weighted estimation. The approaches are applied to the study of county teenage pregnancy rates. The empirical results show a strong spatial convergence among county teenage pregnancy rates. (C) 2009 Elsevier B.V. All rights reserved.
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