The paper develops a heteroskedastic spatial error model with joint mean-variance modeling and claims efficiency gains over standard SEM, SAR, and SARAR estimators, but the proof of the key efficiency lemma is incomplete.
Journal of Economic Dynamics and Control 48, 229–245 (2014)
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Spatial error models with heteroskedastic normal perturbations and joint modeling of mean and variance
The paper develops a heteroskedastic spatial error model with joint mean-variance modeling and claims efficiency gains over standard SEM, SAR, and SARAR estimators, but the proof of the key efficiency lemma is incomplete.