Semiparametric spatial autoregressive models with nonlinear endogeneity

Yiguo Sun

Econometric Reviews, 2024, vol. 43, issue 6, 434-451

Abstract: This article constructs nonparametric two-step least squares (2SLS) and generalized method of moments (GMM) sieve estimators to estimate a functional-coefficient spatial autoregressive model with an endogenous environment variable. We derive the consistency and asymptotic normality results for our proposed sieve estimators. A small Monte Carlo study shows that our proposed estimators exhibit good finite-sample performance. An empirical application is used to illustrate the usefulness of our methods.

Date: 2024
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DOI: 10.1080/07474938.2024.2339149

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