Estimation of Spatial Models with Endogenous Weighting Matrices, and an Application to a Demand Model for Cigarettes
Harry H. Kelejian and Gianfranco Piras , ( 46 )
Regional Science and Urban Economics
140-149
May
2014
Abstract

Weighting matrices are typically assumed to be exogenous. However, in many cases this exogeneity assumption may not be reasonable. In these cases, typical model specifications and corresponding estimation procedures will no longer be valid. In this paper we specify a reasonably general spatial panel data model which contains a spatially lagged dependent variable in terms of an endogenous weighting matrix.

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