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SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS

Published online by Cambridge University Press:  18 December 2014

Nazgul Jenish
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Abstract

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This paper proposes a semiparametric generalized method of moments estimator (GMM) estimator for a partially parametric spatial model with endogenous spatially dependent regressors. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. A spatial heteroscedasticity and autocorrelation consistent covariance estimator is constructed for the GMM estimator. The leading application is nonlinear spatial autoregressions, which arise in a wide range of strategic interaction models. To derive the asymptotic properties of the estimator, the paper also establishes a stochastic equicontinuity criterion and functional central limit theorem for near-epoch dependent random fields.

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Type
ARTICLES
Information
Econometric Theory , Volume 32 , Issue 3 , June 2016 , pp. 714 - 739
Copyright
Copyright © Cambridge University Press 2014 

References

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