Best linear and quadratic moments for spatial econometric models with an application to spatial interdependence patterns of employment growth in US counties
Fei Jin,
Lung‐fei Lee,
Kai Yang
Abstract:SummaryWe provide a novel analytic procedure to construct best linear and quadratic moments of the generalized method of moments estimation for a large class of cross‐sectional network and spatial econometric models. These moments generate an estimator that is asymptotically more efficient than the quasi‐maximum likelihood estimator when the disturbances follow a non‐normal and unknown distribution. We apply this procedure to a high‐order spatial autoregressive model with spatial errors, where the disturbances… Show more
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