Finite sample properties of maximum likelihood estimator in spatial models |
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Authors: | Yong Bao Aman Ullah |
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Institution: | 1. Department of Economics, University of Texas, San Antonio, TX 78249, USA;2. Department of Economics, University of California, Riverside, CA 92521, USA |
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Abstract: | We investigate the finite sample properties of the maximum likelihood estimator for the spatial autoregressive model. A stochastic expansion of the score function is used to develop the second-order bias and mean squared error of the maximum likelihood estimator. We show that the results can be expressed in terms of the expectations of cross products of quadratic forms, or ratios of quadratic forms in a normal vector which can be evaluated using the top order invariant polynomial. Our numerical calculations demonstrate that the second-order behaviors of the maximum likelihood estimator depend on the degree of sparseness of the weights matrix. |
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Keywords: | C10 C21 |
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