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Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term

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  • Osman Doğan

    (Program in Economics, The Graduate School and University Center, The City University of New York, New York, NY 10016, USA)

Abstract

In this study, I investigate the necessary condition for the consistency of the maximum likelihood estimator (MLE) of spatial models with a spatial moving average process in the disturbance term. I show that the MLE of spatial autoregressive and spatial moving average parameters is generally inconsistent when heteroskedasticity is not considered in the estimation. I also show that the MLE of parameters of exogenous variables is inconsistent and determine its asymptotic bias. I provide simulation results to evaluate the performance of the MLE. The simulation results indicate that the MLE imposes a substantial amount of bias on both autoregressive and moving average parameters.

Suggested Citation

  • Osman Doğan, 2015. "Heteroskedasticity of Unknown Form in Spatial Autoregressive Models with a Moving Average Disturbance Term," Econometrics, MDPI, vol. 3(1), pages 1-27, February.
    • Handle: RePEc:gam:jecnmx:v:3:y:2015:i:1:p:101-127:d:46162
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    References listed on IDEAS

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