【香樟推文2098】：空间自回归的GMM方法
文章来源：Lee, L.F., 2007. GMM and 2SLS estimation of mixed regressive,spatial autoregressive models. J. Econometrics, 137, 489–514.
01 背景介绍
一个纯空间自回归（pure SAR）过程能够写成：
02 MRSAR模型的广义矩估计
03 MRSAR模型的广义矩
估计量的渐进分布
04 选择最优的Pjn's
Abstract
The GMM method and the classical 2SLS method are considered for the estimation of mixed regressive, spatial autoregressive models. These methods have computational advantage over the conventional maximum likelihood method. The proposed GMM estimators are shown to be consistent and asymptotically normal. Within certain classes of GMM estimators, best ones are derived. The proposed GMM estimators improve upon the 2SLS estimators and are applicable even if all regressors are irrelevant. A best GMM estimator may have the same limiting distribution as the ML estimator (with normal disturbances).
声明：推文仅代表文章作者观点，以及推文作者的评论观点，并不代表香樟经济学术圈公众号平台的观点。
香樟经济学术圈征稿
“分享”是一种学者的人文情怀，香樟经济学术圈欢迎广大订阅读者（“香粉”）向公众平台投稿，也诚邀您加入香樟推文team。生活处处皆经济，经济处处现生活。如果你或者身边的朋友看了有趣的学术论文，或者撰写了经济政策评论，愿意和大家分享，欢迎投稿（经济金融类），投稿邮箱：cectuiwen@163.com。如果高校、研究机构、媒体或者学者，愿意与平台合作，也请您通过邮箱联系我们。投稿前请在搜狗的微信搜索里搜索已有图文，避免重复。
香樟经济学术圈
本期小编：汉馨语
Abstract
The GMM method and the classical 2SLS method are considered for the estimation of mixed regressive, spatial autoregressive models. These methods have computational advantage over the conventional maximum likelihood method. The proposed GMM estimators are shown to be consistent and asymptotically normal. Within certain classes of GMM estimators, best ones are derived. The proposed GMM estimators improve upon the 2SLS estimators and are applicable even if all regressors are irrelevant. A best GMM estimator may have the same limiting distribution as the ML estimator (with normal disturbances).
声明：推文仅代表文章作者观点，以及推文作者的评论观点，并不代表香樟经济学术圈公众号平台的观点。
香樟经济学术圈征稿
“分享”是一种学者的人文情怀，香樟经济学术圈欢迎广大订阅读者（“香粉”）向公众平台投稿，也诚邀您加入香樟推文team。生活处处皆经济，经济处处现生活。如果你或者身边的朋友看了有趣的学术论文，或者撰写了经济政策评论，愿意和大家分享，欢迎投稿（经济金融类），投稿邮箱：cectuiwen@163.com。如果高校、研究机构、媒体或者学者，愿意与平台合作，也请您通过邮箱联系我们。投稿前请在搜狗的微信搜索里搜索已有图文，避免重复。
香樟经济学术圈
本期小编：汉馨语