Best Spatial Two-Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances

Lung-Fei Lee

Econometric Reviews, 2003, vol. 22, issue 4, 307-335

Abstract: Estimation of a cross-sectional spatial model containing both a spatial lag of the dependent variable and spatially autoregressive disturbances are considered. [Kelejian and Prucha (1998)]described a generalized two-stage least squares procedure for estimating such a spatial model. Their estimator is, however, not asymptotically optimal. We propose best spatial 2SLS estimators that are asymptotically optimal instrumental variable (IV) estimators. An associated goodness-of-fit (or over identification) test is available. We suggest computationally simple and tractable numerical procedures for constructing the optimal instruments.

Keywords: Spatial autoregressive model; Two-stage least squares; Asymptotic efficiency; Best two-stage least squares; Cholesky decomposition; Contracting mapping (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (224)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:22:y:2003:i:4:p:307-335

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DOI: 10.1081/ETC-120025891

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