Publications and Research
Document Type
Article
Publication Date
2015
Abstract
In this study, I investigate the necessary condition for the 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 article was originally published in Econometrics, available at https://doi.org/10.3390/econometrics3010101
This work is distributed under a Creative Commons Attribution 4.0 International License (CC BY 4.0).