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Estimation of spatial models with endogenous weighting matrices, and an application to a demand model for cigarettes

Harry H. Kelejian and Gianfranco Piras

Regional Science and Urban Economics, 2014, vol. 46, issue C, 140-149

Abstract: Weighting matrices are typically assumed to be exogenous. However, in many cases this exogeneity assumption may not be reasonable. In these cases, typical model specifications and corresponding estimation procedures will no longer be valid. In this paper we specify a reasonably general spatial panel data model which contains a spatially lagged dependent variable in terms of an endogenous weighting matrix.

Keywords: Spatial panel data model; Endogenous spatial weighting matrix; Spatial HAC estimator (search for similar items in EconPapers)
Date: 2014
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