2021
DOI: 10.1017/s0266466621000384
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Continuously Updated Indirect Inference in Heteroskedastic Spatial Models

Abstract: Spatial units typically vary over many of their characteristics, introducing potential unobserved heterogeneity which invalidates commonly used homoskedasticity conditions. In the presence of unobserved heteroskedasticity, methods based on the quasi-likelihood function generally produce inconsistent estimates of both the spatial parameter and the coefficients of the exogenous regressors. A robust generalized method of moments estimator as well as a modified likelihood method have been proposed in the literatur… Show more

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