Document Type
Working Paper
Publication Date
12-2014
Abstract
In this study, I investigate the necessary condition for consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I provide simulation results to evaluate the performance of the MLE. The simulation results indicate that the MLE imposes a substantial amount of bias on both autoregressive and moving average parameters.
Comments
This paper is Working Paper 2 (Revised) in the Working Paper Series of the Ph.D. Program in Economics at the Graduate Center, CUNY. It is also available via RePEc: https://ideas.repec.org/p/cgc/wpaper/002.html.
This file is the revised version of the paper; the original version was published in December 2013.