On Two-step Estimation of Spatial Autoregressive Models with Autoregressive Disturbances and Endogenous Regressors
David M. Drukker, Peter Egger, and Ingmar Prucha
,
6
(
32
)
Econometric Reviews
686-733
January
2013
ER32(2013).pdf504.18 KB
Abstract
In this paper, we consider a spatial-autoregressive model with autoregressive disturbances, where we allow for endogenous regressors in addition to a spatial lag of the dependent variable. We suggest a two-step generalized method of moments (GMM) and instrumental variable (IV) estimation approach extending earlier work by, e.g., Kelejian and Prucha (1998, 1999).