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IPW-based robust estimation of the SAR model with missing data

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  • Luo, Guowang
  • Wu, Mixia
  • Xu, Liwen

Abstract

In this paper, an IPW-based robust estimator is developed for the spatial autoregressive model with response missing at random. Its consistency and asymptotical normality are proved and its finite-sample performance is investigated by simulations.

Suggested Citation

  • Luo, Guowang & Wu, Mixia & Xu, Liwen, 2021. "IPW-based robust estimation of the SAR model with missing data," Statistics & Probability Letters, Elsevier, vol. 172(C).
    • Handle: RePEc:eee:stapro:v:172:y:2021:i:c:s0167715221000274
    DOI: 10.1016/j.spl.2021.109065
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    References listed on IDEAS

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    1. Suesse, Thomas, 2018. "Marginal maximum likelihood estimation of SAR models with missing data," Computational Statistics & Data Analysis, Elsevier, vol. 120(C), pages 98-110.
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