This study develops a methodology of inference for a widely used Cliff–Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator suggested in Kelejian and Prucha (1998, 1999) for the spatial autoregressive parameter in the disturbance process. We also define IV estimators for the regression parameters of the model and give results concerning the joint asymptotic distribution of those estimators and the GMM estimator.
Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic DisturbancesHarry H. Kelejian and Ingmar Prucha ,
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Journal of Econometrics
Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances