Heteroskedasticity-consistent covariance matrix estimators for spatial autoregressive models

In the presence of heteroskedasticity, conventional test statistics based on the ordinary least squares (OLS) estimator lead to incorrect inference results for the linear regression model. Given that heteroskedasticity is common in cross-sectional data, the test statistics based on various forms of...

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Veröffentlicht in:	Spatial economic analysis 2019-04, Vol.14 (2), p.241-268
Hauptverfasser:	Taşpınar, Süleyman, Doğan, Osman, Bera, Anil K.
Format:	Artikel
Sprache:	eng
Schlagworte:	asymptotic variance Econometrics Economic models efficiency Generalized method of moments generalized method of moments (GMM) heteroskedasticity heteroskedasticity-consistent covariance matrix estimator (HCCME) inference Matrices Regression analysis spatial autoregressive models Standard error of estimate standard errors
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