Separate estimation of spatial dependence parameters and variance parameters in a spatial model

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dc.contributor.authorArnold, Matthias
dc.contributor.authorWied, Dominik
dc.date.accessioned2010-04-06T08:52:44Z
dc.date.available2010-04-06T08:52:44Z
dc.date.issued2010-04-06T08:52:44Z
dc.description.abstractThis paper suggests a two step estimation procedure for a spatial model with different kinds of spatial dependence and heteroscedastic innovations. Since maximum likelihood estimation is cumbersome due to the large number of parameters, we use a generalized method of moments approach to estimate the parameters of spatial correlation which does not need the large number of variance parameters to be known. For illustration purposes, we apply our estimation procedure to daily stock returns of the Euro Stoxx 50 members. JEL subject classifications: C13, C51, G12en
dc.identifier.urihttp://hdl.handle.net/2003/27018
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-12672
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;08/2010
dc.subjectGMM estimationen
dc.subjectHeteroscedasticityen
dc.subjectSpatial dependenceen
dc.subjectStock returnsen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleSeparate estimation of spatial dependence parameters and variance parameters in a spatial modelen
dc.typeTextde
dc.type.publicationtypereportde
dcterms.accessRightsopen access

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