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Optimum property of estimating function for spatial autoregressive models

P. E. Simlai


The goal of this paper is to propose a simple efficient estimation method for spatial autoregressive process using Godambe’s (1960) Estimating Function approach. It turns out that this method is of particular interest as a complementary to moment based approaches. For theoretical results we utilized the spatial random field structure to treat the stationary specification of the model. Consistency results for the Estimating Function estimates as well as asymptotic limiting distribution of the spatial autoregressive coefficients are obtained.


Pspatial dependence, estimating function, spatial moment, consistency, asymptotic distribution.

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