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Full-Text Articles in Social and Behavioral Sciences
Heteroskedasticity Of Unknown Form In Spatial Autoregressive Models With Moving Average Disturbance Term, Osman Dogan
Heteroskedasticity Of Unknown Form In Spatial Autoregressive Models With Moving Average Disturbance Term, Osman Dogan
Economics Working Papers
In this study, I investigate the necessary condition for 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 …
Adaptive Markov Chain Monte Carlo Sampling And Estimation In Mata, Matthew J. Baker
Adaptive Markov Chain Monte Carlo Sampling And Estimation In Mata, Matthew J. Baker
Economics Working Papers
I describe algorithms for drawing from distributions using adaptive Markov chain Monte Carlo (MCMC) methods, introduce a Mata function for performing adaptive MCMC, amcmc(), and a suite of functions amcmc *() allowing an alternative implementation of adaptive MCMC. amcmc() and amcmc *() may be used in conjunction with models set up to work with Mata's [M-5] moptimize( ) or [M-5] optimize( ), or with stand-alone functions. To show how the routines might be used in estimation problems, I give two examples of what Chernozukov and Hong (2003) refer to as Quasi-Bayesian or Laplace-Type estimators - simulation-based estimators employing MCMC sampling. …