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
163-198
January
2004
AE18(2004).pdf451.92 KB
Abstract
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).
