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Essays On Spatial Econometrics: Estimation Methods And Applications, Osman Dogan
Essays On Spatial Econometrics: Estimation Methods And Applications, Osman Dogan
Dissertations, Theses, and Capstone Projects
This dissertation consists of four essays on the estimation methods and applications of spatial econometrics models. In the first essay, we consider a spatial econometric model containing spatial lags in the dependent variable and the disturbance terms with an unknown form of heteroskedasticity in the innovations. We first prove that the maximum likelihood estimator (MLE) is generally inconsistent when heteroskedasticity is not taken into account in the estimation. We show that the necessary condition for consistency of the MLE depends on the specification of the spatial weight matrices. Then, we extend the robust generalized method of moment (GMM) estimation approach …
Heteroskedasticity Of Unknown Form In Spatial Autoregressive Models With A Moving Average Disturbance Term, Osman Dogan
Heteroskedasticity Of Unknown Form In Spatial Autoregressive Models With A Moving Average Disturbance Term, Osman Dogan
Publications and Research
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 …