Asymptotic Distribution of the OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model

Mynbaev, Kairat (2006): Asymptotic Distribution of the OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model.

Abstract

We find the asymptotics of the OLS estimator of the parameters $\beta$ and $\rho$ in the spatial autoregressive model with exogenous regressors $Y_n = X_n\beta+\rho W_nY_n+V_n$. Only low-level conditions are imposed. Exogenous regressors may be bounded or growing, like polynomial trends. The assumption on the spatial matrix $W_n$ is appropriate for the situation when each economic agent is influenced by many others. The asymptotics contains both linear and quadratic forms in standard normal variables. The conditions and the format of the result are chosen in a way compatible with known results for the model without lags by Anderson (1971) and for the spatial model without exogenous regressors due to Mynbaev and Ullah (2006).

• Item Type: MPRA Paper
• Institution: Kazakh-British Technical University
• Language: English
• Keywords: mixed regressive spatial autoregressive model; OLS estimator; asymptotic distribution
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C21 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C31 - Cross-Sectional Models ; Spatial Models ; Treatment Effect Models ; Quantile Regressions ; Social Interaction Models

References

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