A note on 2SLS estimation of the mixed regressive spatial autoregressive model

Long Liu

Economics Letters, 2015, vol. 134, issue C, 49-52

Abstract: This paper considers the mixed regressive spatial autoregressive model in an important special case where the spatially lag term is collinear with the regressors. The asymptotic properties of the two-stage least square (2SLS) estimator suggested by Kelejian and Prucha (1998) are derived under such a circumstance. Although the coefficients of the spatial effect cannot be consistently estimated, the coefficients of regressors may still be consistently estimated with a regular n speed of convergence, for example, when all instruments are irrelevant. Furthermore, when the coefficient of the spatial effect is close to 1, it could be also consistently estimated.

Keywords: Spatial lag model; Two-stage least square; Instrument variables (search for similar items in EconPapers)
JEL-codes: C13 C23 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176515002475
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:134:y:2015:i:c:p:49-52

DOI: 10.1016/j.econlet.2015.06.007

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().