A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances
Harry H. Kelejian and Ingmar Prucha
,
1
(
17
)
Journal of Real Estate Finance and Economics
99-121
July
1998
JREFE17(1998).pdf170 KB
Abstract
Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computationally simple procedure for estimating cross-sectional models that contain both of these characteristics. We also give formal large-sample results.