A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances |
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| Authors: | Harry H Kelejian Ingmar R Prucha |
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| Institution: | (1) Department of Economics, University of Maryland, College Park, MD, 20742 |
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| 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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| Keywords: | Spatial autoregressive model two-stage least squares generalized moments estimation |
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