Two-stage generalized moment method approach for bidimensional random coefficient autoregressive models |
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Authors: | Abdelouahab Bibi |
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Institution: | 1. Département de mathématiques, Université de Constantine(1), Constantine, Algeriaa.bibi@umc.edu.dz |
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Abstract: | ABSTRACTA two-dimensionally indexed random coefficients autoregressive models (2D ? RCAR) and the corresponding statistical inference are important tools for the analysis of spatial lattice data. The study of such models is motivated by their second-order properties that are similar to those of 2D ? (G)ARCH which play an important role in spatial econometrics. In this article, we study the asymptotic properties of two-stage generalized moment method (2S ? GMM) under general asymptotic framework for 2D ? RCA models. So, the efficiency, strong consistency, the asymptotic normality, and hypothesis tests of 2S ? GMM estimation are derived. A simulation experiment is presented to highlight the theoretical results. |
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Keywords: | 2D-RCAR models 2S-GMM Strong consistency Efficiency Asymptotic normality |
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