Computing the Jacobian in spatial models : an applied survey
Working paper
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Date
2010-08Metadata
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- Discussion papers (SAM) [649]
Abstract
Despite attempts to get around the Jacobian in fitting spatial econometric
models by using GMM and other approximations, it remains a central problem
for maximum likelihood estimation. In principle, and for smaller data sets,
the use of the eigenvalues of the spatial weights matrix provides a very rapid
and satisfactory resolution. For somewhat larger problems, including those
induced in spatial panel and dyadic (network) problems, solving the eigenproblem
is not as attractive, and a number of alternatives have been proposed.
This paper will survey chosen alternatives, and comment on their relative usefulness.
Publisher
Norwegian School of Economics and Business Administration. Department of EconomicsSeries
Discussion paper2010:20