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GEOSTATS: Spatial autoregressive models

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  • Vincenzo Matassa
    Dear All It is common practice to utilise the Profile Likelihood in order to find the MLE of p for the Spatial Autoregressive model (SAR): Y=pWY+Xt+error where
    Message 1 of 1 , Nov 19, 1997
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      Dear All
      It is common practice to utilise the Profile Likelihood in order
      to find the MLE of p for the Spatial Autoregressive model (SAR):

      Y=pWY+Xt+error

      where Y=vector of observations, W=weights matrix, t =vectot of fixed
      effects.

      There is a great deal of work in the statistical literature
      stating that using the profile likelihood to find a MLE for p can be
      problematic.

      Does anyone know of of publications where a Modified/Adjusted profile (Cox
      & Reid) likelihood function for the SAR model has been constructed.

      Regards Vince

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