Continuously updated indirect inference in heteroskedastic spatial models

HIGHLIGHTS

• who: Econometric Theory and colleagues from the University of have published the article: CONTINUOUSLY UPDATED INDIRECT INFERENCE IN HETEROSKEDASTIC SPATIAL MODELS, in the Journal: (JOURNAL)
• what: The authors propose a similar enhancement in the case of a SAR model with exogenous regressors (SARX, in the sequel) and heterogeneous spatial errors. The authors show that the QMLE can be severely biased when the spatial weights deviate from a Toeplitz network structure, such as block diagonal or circulant. For illustration, the authors limit the analysis to the Gaussian case, although more general results can be obtained at . . .
  

   

  

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