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ArticleSpatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix

Yixiao Sun2010

Article2010

Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix

63 citations·0/0 files stored·Journal of Econometrics

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Spatial and Panel Data Analysis Regional Economic and Spatial Analysis Advanced Statistical Methods and Models

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References

1988Spatial Econometrics: Methods and Models 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1994Automatic Lag Selection in Covariance Matrix Estimation 1999GMM estimation with cross sectional dependence 1989Spatial Econometrics: Methods and Models 1998A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances 2004Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models 2002Spatial Price Competition: A Semiparametric Approach

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2006HAC estimation in a spatial frameworkarticle · 7 shared references 2009A SPATIAL CLIFF-ORD-TYPE MODEL WITH HETEROSKEDASTIC INNOVATIONS: SMALL AND LARGE SAMPLE RESULTS*article · 6 shared references 2012On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressorsarticle · 6 shared references 2008Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbancespreprint · 6 shared references 2010sphet : Spatial Models with Heteroskedastic Innovations in Rarticle · 6 shared references 2015Spatial Methodschapter · 6 shared references

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Year2010

Typearticle

Published2010-10-23

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations63

Files0 public / 0

ShelfSpatial and Panel Data Analysis

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doi10.1016/j.jeconom.2010.10.002

openalex_workW3125874577

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