Economics at your fingertips  

On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors

David Drukker, Peter Egger and Ingmar Prucha

Econometric Reviews, 2013, vol. 32, issue 5-6, 686-733

Abstract: In this paper, we consider a spatial-autoregressive model with autoregressive disturbances, where we allow for endogenous regressors in addition to a spatial lag of the dependent variable. We suggest a two-step generalized method of moments (GMM) and instrumental variable (IV) estimation approach extending earlier work by, e.g., Kelejian and Prucha (1998, 1999). In contrast to those papers, we not only prove consistency for our GMM estimator for the spatial-autoregressive parameter in the disturbance process, but we also derive the joint limiting distribution for our GMM estimator and the IV estimator for the regression parameters. Thus the theory allows for a joint test of zero spatial interactions in the dependent variable, the exogenous variables and the disturbances. The paper also provides a Monte Carlo study to illustrate the performance of the estimator in small samples.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1080/07474938.2013.741020

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

Page updated 2023-05-25
Handle: RePEc:taf:emetrv:v:32:y:2013:i:5-6:p:686-733