Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term
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 inconsi...
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| Format: | Article |
| Language: | English |
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MDPI AG
2015-02-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/3/1/101 |
| _version_ | 1798006263084220416 |
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| author | Osman Doğan |
| author_facet | Osman Doğan |
| author_sort | Osman Doğan |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T12:52:03Z |
| format | Article |
| id | doaj.art-a62a4b963b91445da31aa9aacf8f80ab |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T12:52:03Z |
| publishDate | 2015-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-a62a4b963b91445da31aa9aacf8f80ab2022-12-22T04:23:10ZengMDPI AGEconometrics2225-11462015-02-013110112710.3390/econometrics3010101econometrics3010101Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance TermOsman Doğan0Program in Economics, The Graduate School and University Center, The City University of New York, New York, NY 10016, USAIn 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.http://www.mdpi.com/2225-1146/3/1/101spatial dependencespatial moving averagespatial autoregressivemaximum likelihood estimatorMLEasymptoticsheteroskedasticitySARMA(1,1) |
| spellingShingle | Osman Doğan Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term Econometrics spatial dependence spatial moving average spatial autoregressive maximum likelihood estimator MLE asymptotics heteroskedasticity SARMA(1,1) |
| title | Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term |
| title_full | Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term |
| title_fullStr | Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term |
| title_full_unstemmed | Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term |
| title_short | Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term |
| title_sort | heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term |
| topic | spatial dependence spatial moving average spatial autoregressive maximum likelihood estimator MLE asymptotics heteroskedasticity SARMA(1,1) |
| url | http://www.mdpi.com/2225-1146/3/1/101 |
| work_keys_str_mv | AT osmandogan heteroskedasticityofunknownforminspatialautoregressivemodelswithamovingaveragedisturbanceterm |