A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices

This paper proposes a new GMM estimator for spatial regression models with moving average errors. Monte Carlo results are given which suggest that the GMM estimates are consistent and robust to non-normality, and the Bootstrap method is suggested as a way of testing the significance of the moving average parameter. The estimator is applied in a model of English real estate prices, in which the concepts of displaced demand and displaced supply are introduced to derive the spatial lag of prices, and the moving average error process represents spatially autocorrelated unmodelled variables.