Abstract
In a general class of semiparametric pure spatial models (having no explanatory variables) allowing nonlinearity in the parameter and the weight matrix, we propose adaptive tests and estimates which are asymptotically efficient in the presence of unknown, nonparametric distributional form. Feasibility of adaptive estimation is verified and its efficiency improvement over Gaussian pseudo maximum likelihood is shown to be either less than, or more than, for models with explanatory variables, depending on properties of the spatial weight matrix. An adaptive Lagrange Multiplier testing procedure for lack of spatial dependence is proposed and this, and our adaptive parameter estimate, are extended to cover regression with spatially correlated errors.
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