Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal But Heteroskedastic Disturbances

SSRN Electronic Journal ◽

10.2139/ssrn.1625588 ◽

2010 ◽

Author(s):

Takahisa Yokoi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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Pseudo maximum likelihood estimation of spatial autoregressive models with increasing dimension

Journal of Econometrics ◽

10.1016/j.jeconom.2017.05.019 ◽

2018 ◽

Vol 202 (1) ◽

pp. 92-107 ◽

Author(s):

Abhimanyu Gupta ◽

Peter M. Robinson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Pseudo Maximum Likelihood Estimation ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

Pseudo Maximum Likelihood

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Profile quasi-maximum likelihood estimation of partially linear spatial autoregressive models

Journal of Econometrics ◽

10.1016/j.jeconom.2009.10.033 ◽

2010 ◽

Vol 157 (1) ◽

pp. 18-33 ◽

Author(s):

Liangjun Su ◽

Sainan Jin

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Partially Linear ◽

Spatial Autoregressive ◽

Quasi Maximum Likelihood ◽

Spatial Autoregressive Models

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Randomized algorithms of maximum likelihood estimation with spatial autoregressive models for large-scale networks

Statistics and Computing ◽

10.1007/s11222-019-09862-4 ◽

2019 ◽

Vol 29 (5) ◽

pp. 1165-1179

Author(s):

Miaoqi Li ◽

Emily L. Kang

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Randomized Algorithms ◽

Large Scale ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models ◽

Large Scale Networks

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Fast maximum likelihood estimation of very large spatial autoregressive models: a characteristic polynomial approach

Computational Statistics & Data Analysis ◽

10.1016/s0167-9473(00)00018-9 ◽

2001 ◽

Vol 35 (3) ◽

pp. 301-319 ◽

Author(s):

Oleg Smirnov ◽

Luc Anselin

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Characteristic Polynomial ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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Faster maximum likelihood estimation of very large spatial autoregressive models: an extension of the Smirnov–Anselin result

Journal of Statistical Computation and Simulation ◽

10.1080/00949650410001650126 ◽

2004 ◽

Vol 74 (12) ◽

pp. 855-866 ◽

Author(s):

Daniel A. Griffith

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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Maximum Likelihood Estimation and Unit Root Test for First Order Random Coefficient AutoRegressive Models

Journal of Statistical Theory and Practice ◽

10.1080/15598608.2010.10411985 ◽

2010 ◽

Vol 4 (2) ◽

pp. 261-278 ◽

Author(s):

Dazhe Wang ◽

Sujit K. Ghosh ◽

Sastry G. Pantula

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Unit Root Test ◽

Likelihood Estimation ◽

Random Coefficient ◽

Autoregressive Models ◽

First Order ◽

Random Coefficient Autoregressive

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Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-018-0671-z ◽

2018 ◽

Vol 71 (5) ◽

pp. 1121-1142

Author(s):

Jungjun Choi ◽

In Choi

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Unit Root ◽

Likelihood Estimation ◽

Autoregressive Models ◽

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Small-sample Properties of Panel Spatial Autoregressive Models: Comparison of the Bayesian and Maximum Likelihood Methods

Spatial Economic Analysis ◽

10.1080/17421770802353725 ◽

2008 ◽

Vol 3 (3) ◽

pp. 305-319 ◽

Author(s):

Kazuhiko Kakamu ◽

Hajime Wago

Keyword(s):

Maximum Likelihood ◽

Small Sample ◽

Autoregressive Models ◽

Likelihood Methods ◽

Maximum Likelihood Methods ◽

Models Comparison ◽

Small Sample Properties ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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Properties of the maximum likelihood estimator in spatial autoregressive models

10.1920/wp.cem.2013.4413 ◽

2013 ◽

Author(s):

Grant Hillier ◽

Federico Martellosio

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimator ◽

Autoregressive Models ◽

Likelihood Estimator ◽

Spatial Autoregressive ◽

Spatial Autoregressive Models

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On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models

Journal of Time Series Analysis ◽

10.1111/jtsa.12525 ◽

2020 ◽

Vol 41 (6) ◽

pp. 883-891

Author(s):

Huan Gong ◽

Dong Li

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Likelihood Estimation ◽

Autoregressive Models ◽

Heavy Tailed ◽

Quasi Maximum Likelihood ◽

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