Efficient GMM estimation of a spatial autoregressive model with an endogenous spatial weights matrix

Wei Kong and Kai Yang

Economics Letters, 2021, vol. 208, issue C

Abstract: This paper studies the GMM estimation with the best linear and quadratic moments for a spatial autoregressive model with an endogenous spatial weights matrix. The proposed estimator is asymptotically more efficient than the QML estimator when the disturbances are non-normal.

Keywords: Generalized method of moment; Endogenous spatial weights matrix; Estimation efficiency (search for similar items in EconPapers)
JEL-codes: C13 C31 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:208:y:2021:i:c:s0165176521003670

DOI: 10.1016/j.econlet.2021.110090

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