[Statlist] Research seminar in statistics April 22nd 2016, GSEM University of Geneva

[Karen Longden Roure]

Dear All,

We are pleased to invite you to our next Research Seminar -

Looking forward to seeing you

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

Friday April 22nd, 2016 at 11h15 - Room M 5220, Uni Mail (40, bd du Pont-d'Arve)

Indirect inference in spatial autoregression (with Maria Kyriacou and Peter C. B. Phillips)

Francesca Rossi - University of Southampton

ABSTRACT:
Ordinary least squares (OLS) is well-known to produce an inconsistent estimator of the spatial parameter in pure spatial autoregression (SAR). This paper explores the potential of indirect inference to correct the inconsistency of OLS. Under broad conditions, it is shown that indirect inference (II)\ based on OLS produces consistent and asymptotically normal estimates in pure SAR regression. The II estimator is robust to departures from normal disturbances and is computationally straightforward compared with quasi maximum likelihood (QML). Monte Carlo experiments based on various specifications of the weighting matrix show that (i) the indirect inference estimator displays little bias even in very small samples and gives overall performance that is comparable to the QML while raising variance in some cases, and (ii) Indirect Inference applied to QML also enjoys good finite sample properties.

Visit the website: http://www.stat-center.unige.ch/ressem.html

Karen Longden
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Universit� de Gen�ve, Uni-Mail
Facult� d'Economie & Management, GSEM
40, bd. du Pont d'Arve, 1211 Gen�ve 4
T�l:  +41.22.379.8109 (10h-14h)


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