A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances

Harry H. Kelejian () and Ingmar Prucha
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Harry H. Kelejian: Department of Economics, University of Maryland, http://econweb.umd.edu/~kelejian/

Electronic Working Papers from University of Maryland, Department of Economics

Abstract: Cross sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor, or a disturbance term which is spatially autoregressive. In this paper we describe a computationally simple procedure for estimating cross sectional models which contain both of these characteristics. We also give formal large sample results.

Keywords: Spatial Models; Autocorrelation; Two Stage Least Squares; Generalized Moments Estimator (search for similar items in EconPapers)
JEL-codes: C13 C21 (search for similar items in EconPapers)
Date: 1997-04, Revised 1997-08
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances (1998)
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