{"id":389,"date":"2017-05-12T11:30:49","date_gmt":"2017-05-12T11:30:49","guid":{"rendered":"http:\/\/jsr.isrt.ac.bd\/?post_type=article&#038;p=389"},"modified":"2017-05-12T11:35:38","modified_gmt":"2017-05-12T11:35:38","slug":"moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems","status":"publish","type":"article","link":"http:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/","title":{"rendered":"Moment restrictions for optimum GMM estimators under spatial simultaneous systems"},"content":{"rendered":"<p>It is widely known that for large samples maximum-likelihood based estimators are not<br \/>\neasy to implement for spatial models unless weights matrix satisfy certain basic conditions.<br \/>\nAs an alternative recently in a series of paper Kelejian and Prucha (1999, 2004) proposed<br \/>\na computationally feasible three step procedure for spatial models involving both lagged<br \/>\ndependent variable and spatially correlated disturbance term. The idea of this paper is to use<br \/>\ntheir set up for spatial simultaneous system, and construct a GMM type estimator based on<br \/>\nspatial first difference. The over-identification of the moment equation comes to the picture<br \/>\nby considering first two moments of a possibly heteroskedastic disturbance. Following<br \/>\nChamberlains (1987) idea, a popular issue of optimum GMM based on conditional spatial<br \/>\nmoment restrictions and asymptotic efficiency has been discussed.<\/p>\n<p><a href=\"http:\/\/jsr.isrt.ac.bd\/wp-content\/uploads\/46n1_1.pdf\">46n1_1<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>It is widely known that for large samples maximum-likelihood based estimators are not easy to implement for spatial models unless weights matrix satisfy certain basic conditions. As an alternative recently in a series of paper Kelejian and Prucha (1999, 2004) proposed a computationally feasible three step procedure for spatial models involving both lagged dependent variable [&hellip;]<\/p>\n","protected":false},"author":2,"featured_media":0,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","format":"standard","meta":{"_mi_skip_tracking":false,"_exactmetrics_sitenote_active":false,"_exactmetrics_sitenote_note":"","_exactmetrics_sitenote_category":0,"footnotes":""},"issuem_issue":[7],"issuem_issue_categories":[],"issuem_issue_tags":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v22.7 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR\" \/>\n<meta property=\"og:description\" content=\"It is widely known that for large samples maximum-likelihood based estimators are not easy to implement for spatial models unless weights matrix satisfy certain basic conditions. As an alternative recently in a series of paper Kelejian and Prucha (1999, 2004) proposed a computationally feasible three step procedure for spatial models involving both lagged dependent variable [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/\" \/>\n<meta property=\"og:site_name\" content=\"JSR\" \/>\n<meta property=\"article:modified_time\" content=\"2017-05-12T11:35:38+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"1 minute\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/\",\"url\":\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/\",\"name\":\"Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR\",\"isPartOf\":{\"@id\":\"https:\/\/jsr.isrt.ac.bd\/#website\"},\"datePublished\":\"2017-05-12T11:30:49+00:00\",\"dateModified\":\"2017-05-12T11:35:38+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/jsr.isrt.ac.bd\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Articles\",\"item\":\"https:\/\/jsr.isrt.ac.bd\/article\/\"},{\"@type\":\"ListItem\",\"position\":3,\"name\":\"Moment restrictions for optimum GMM estimators under spatial simultaneous systems\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/jsr.isrt.ac.bd\/#website\",\"url\":\"https:\/\/jsr.isrt.ac.bd\/\",\"name\":\"JSR\",\"description\":\"Journal of Statistical Research\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/jsr.isrt.ac.bd\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-US\"}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/","og_locale":"en_US","og_type":"article","og_title":"Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR","og_description":"It is widely known that for large samples maximum-likelihood based estimators are not easy to implement for spatial models unless weights matrix satisfy certain basic conditions. As an alternative recently in a series of paper Kelejian and Prucha (1999, 2004) proposed a computationally feasible three step procedure for spatial models involving both lagged dependent variable [&hellip;]","og_url":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/","og_site_name":"JSR","article_modified_time":"2017-05-12T11:35:38+00:00","twitter_card":"summary_large_image","twitter_misc":{"Est. reading time":"1 minute"},"schema":{"@context":"https:\/\/schema.org","@graph":[{"@type":"WebPage","@id":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/","url":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/","name":"Moment restrictions for optimum GMM estimators under spatial simultaneous systems - JSR","isPartOf":{"@id":"https:\/\/jsr.isrt.ac.bd\/#website"},"datePublished":"2017-05-12T11:30:49+00:00","dateModified":"2017-05-12T11:35:38+00:00","breadcrumb":{"@id":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/#breadcrumb"},"inLanguage":"en-US","potentialAction":[{"@type":"ReadAction","target":["https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/"]}]},{"@type":"BreadcrumbList","@id":"https:\/\/jsr.isrt.ac.bd\/article\/moment-restrictions-optimum-gmm-estimators-spatial-simultaneous-systems\/#breadcrumb","itemListElement":[{"@type":"ListItem","position":1,"name":"Home","item":"https:\/\/jsr.isrt.ac.bd\/"},{"@type":"ListItem","position":2,"name":"Articles","item":"https:\/\/jsr.isrt.ac.bd\/article\/"},{"@type":"ListItem","position":3,"name":"Moment restrictions for optimum GMM estimators under spatial simultaneous systems"}]},{"@type":"WebSite","@id":"https:\/\/jsr.isrt.ac.bd\/#website","url":"https:\/\/jsr.isrt.ac.bd\/","name":"JSR","description":"Journal of Statistical Research","potentialAction":[{"@type":"SearchAction","target":{"@type":"EntryPoint","urlTemplate":"https:\/\/jsr.isrt.ac.bd\/?s={search_term_string}"},"query-input":"required name=search_term_string"}],"inLanguage":"en-US"}]}},"jetpack_sharing_enabled":true,"_links":{"self":[{"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/article\/389"}],"collection":[{"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/article"}],"about":[{"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/types\/article"}],"author":[{"embeddable":true,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/comments?post=389"}],"version-history":[{"count":0,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/article\/389\/revisions"}],"wp:attachment":[{"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/media?parent=389"}],"wp:term":[{"taxonomy":"issuem_issue","embeddable":true,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/issuem_issue?post=389"},{"taxonomy":"issuem_issue_categories","embeddable":true,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/issuem_issue_categories?post=389"},{"taxonomy":"issuem_issue_tags","embeddable":true,"href":"http:\/\/jsr.isrt.ac.bd\/wp-json\/wp\/v2\/issuem_issue_tags?post=389"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}