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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 consistent and asymptotically normal. Small\u2010sample properties of the proposed estimators are investigated by Monte Carlo simulations and results are shown to be in line with the paper's key theoretical findings, even for panels with moderate time dimensions and irrespective of the number of cross\u2010section units. A detailed empirical application to US house price changes during the 1975\u20132014 period shows a significant degree of heterogeneity in spatiotemporal dynamics over the 338 Metropolitan Statistical Areas considered.<\/jats:p>","DOI":"10.1002\/jae.2792","type":"journal-article","created":{"date-parts":[[2020,6,20]],"date-time":"2020-06-20T15:59:03Z","timestamp":1592668743000},"page":"18-44","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":84,"title":["Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices"],"prefix":"10.1002","volume":"36","author":[{"given":"Michele","family":"Aquaro","sequence":"first","affiliation":[{"name":"Joint Research Centre, European Commission  Ispra Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Natalia","family":"Bailey","sequence":"additional","affiliation":[{"name":"Department of Econometrics and Business Statistics Monash University  Melbourne Victoria Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"M. 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