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Computing the Jacobian in spatial models : an applied survey

Bivand, Roger S.
Working paper
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dp2010-20.pdf (313.8Kb)
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http://hdl.handle.net/11250/163240
Utgivelsesdato
2010-08
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  • Discussion papers (SAM) [678]
Sammendrag
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.
Utgiver
Norwegian School of Economics and Business Administration. Department of Economics
Serie
Discussion paper
2010:20

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