Scandinavian Working Papers in Economics

Discussion Paper Series in Economics,
Norwegian School of Economics, Department of Economics

No 20/2010: Computing the Jacobian in spatial models: an applied survey.

Roger Bivand ()
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Roger Bivand: Dept. of Economics, Norwegian School of Economics and Business Administration, Postal: NHH , Department of Economics, Helleveien 30, N-5045 Bergen, Norway

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.

Keywords: Spatial autoregression; Maximum likelihood estimation; Jacobian computation; Econometric software.

JEL-codes: C13; C21; C87

30 pages, August 17, 2010

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