Efficient parametric estimation of the ...

Document type :
Pré-publication ou Document de travail
Link :
https://lilloa.univ-lille.fr/handle/20.500.12210/126445
Title :
Efficient parametric estimation of the spatial autoregressive model
Author(s) :
Debarsy, Nicolas [Auteur] refId
Lille économie management - UMR 9221 [LEM]
Verardi, Vincenzo [Auteur]
Vermandele, Catherine [Auteur]
Publication date :
2025-03-11
English keyword(s) :
spillovers
Local Asymptotic Normality
Flexible distributions
efficiency
HAL domain(s) :
Économie et finance quantitative [q-fin]
English abstract : [en]
This paper introduces a new one-step parametric estimation method for spatial autoregressive (SAR) models, providing an efficient estimator for any error distribution with a defined quantile function. Based on Le Cam's ...
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Language :
Anglais
Collections :
Source :
Harvested from HAL
Submission date :
2025-03-15T03:00:41Z
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