Document Type

Working Paper

Publication Date



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.


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:

This file is the revised version of the paper; the original version was published in December 2013.

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Economics Commons



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