Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices
异质系数空间模型的估计与推断：美国房价应用
Summary This paper considers the estimation and inference of spatial panel data models with heterogeneous spatial lag coefficients, with and without weakly exogenous regressors, and subject to heteroskedastic errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of the spatial coefficients are derived. The QML estimators of individual spatial coefficients, as well as their mean group estimators, are shown to be…