Citations: Andersen, Torben Gustav, Tim Bollerslev. 1996. GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study. Journal of Business & Economic Statistics. (3)328-352.

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A linearized logit version of Pinkse and Slade's spatial GMM estimator reduces estimation to two steps—standard logit followed by two-stage least squares. Linearization produces a model that can be ...

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Spatial econometrics addresses the challenges posed by spatially correlated data, enabling researchers to understand and quantify how economic phenomena in one location can influence those in ...