A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances

Harry H. Kelejian and Ingmar Prucha, Journal of Real Estate Finance and Economics 17(1), 99-121, July .

Abstract:

Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computationally simple procedure for estimating cross-sectional models that contain both of these characteristics. We also give formal large-sample results.

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