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
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).

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