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Asymptotic distribution of the OLS estimator for a purely autoregressive spatial model

By Kairat T. Mynbaev and Aman Ullah

Abstract

We derive the asymptotics of the OLS estimator for a purely autoregressive spatial model. Only low-level conditions are used. As the sample size increases, the spatial matrix is assumed to approach a square-integrable function on the square (0,1)2. The asymptotic distribution is a ratio of two infinite linear combinations of [chi]2 variables. The formula involves eigenvalues of an integral operator associated with the function approached by the spatial matrices. Under the conditions imposed identification conditions for the maximum likelihood method and method of moments fail. A corrective two-step procedure using the OLS estimator is proposed.Spatial model OLS estimator Asymptotic distribution Maximum likelihood Method of moments

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