Instrumental Variable Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances: Large and Small Sample Results
Harry H. Kelejian, Ingmar Prucha, and Yevgeny Yuzefovich , ( 18 )
Spatial and Spatiotemporal Econometrics: Advances in Econometrics, ed. by James P. Lesage, R. Kelley Pace, Emerald Group Publishing Limited

The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first order autoregressive model with first order autoregressive disturbances. We demonstrate that our estimator is asymptotically efficient within the class of IV estimators, and has a lower computational count than an efficient IV estimator that was introduced by Lee (2003).

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