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

Journal of Real Estate Finance and Economics

Volumn 17, Issue 1, 1998, Pages 99-121

  Kelejian, Harry H ^a   Prucha, Ingmar R ^a  

^a UNIVERSITY OF MARYLAND   (United States)

Author keywords

Generalized moments estimation; Spatial autoregressive model; Two stage least squares

Indexed keywords

EID: 0032373368     PISSN: 08955638     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1007707430416     Document Type: Article

References (20)

1. Amemiya, T. (1985). Advanced Econometrics. Cambridge, MA: Harvard University Press.
2. Anselin, L. A. (1982) "New Look at Statistical Model Identification," IEEE Transactions on Automatic Control AC 19, 716-723.
3. Anselin, L. (1988). Spatial Econometrics: Methods and Models. Boston: Kluwer.
4. Anselin, L. (1990). "Some Robust Approaches to Testing and Estimation in Spatial Econometrics," Regional Science and Urban Economics 20, 141-163.
5. Anselin, L., A. Bera, R. Florax, and M. Yoon. (1994). "Simple Diagnostic Tests for Spatial Dependence," Regional Science and Urban Economics 26, 77-104.
6. Anselin, L., and S. Rey. (1991). "Properties of Tests for Spatial Dependence in Linear Regression Models," Geographical Analysis 23, 110-131.
7. Bell, K., and N. Bockstael. (1997). "Applying the Generalized Method of Moments Approach to Spatial Problems Involving Micro-Level Data." Department of Agricultural and Resource Economics Working Paper 97-03, University of Maryland.
8. Bierens, H. J. (1981). Robust Methods and Asymptotic Theory in Nonlinear Econometrics. Lecture Notes in Economics and Mathematical Systems 192. New York: Springer-Verlag.
9. Blommestein, H. (1983). "Specification and Estimation of Spatial Econometric Models," Regional Science and Urban Economics 13, 251-270.
10. Case, A. (1991). "Spatial Patterns in Household Demand," Econometrica 59, 953-966.
11. Case, A. (1992). "Neighborhood Influence and Technological Change," Regional Science and Urban Economics 22, 491-508.
12. Case, A., J. Hines, Jr., and H. Rosen. (1993). "Budget Spillovers and Fiscal Policy Independence; Evidence from the States," Journal of Public Economics 52, 285-307.
13. Horn, R., and C. Johnson. (1985). Matrix Analysis. New York: Cambridge University Press.
14. Kelejian, H. H., and D. Robinson. (1993). "A Suggested Method of Estimation for Spatial Interdependent Models with Autocorrelated Errors, and an Application to a County Expenditure Model," Papers in Regional Science 72, 297-312.
15. Kelejian, H. H., and I. R. Prucha. (1995). "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model." Department of Economics, University of Maryland, Working Paper 95-03 (forthcoming in International Economic Review).
16. Ord, J. (1975). "Estimation Methods for Models of Spatial Interaction," Journal of the American Statistical Association 70, 120-126.
17. Pace, R., and R. Barry. (1996). "Sparse Spatial Autoregressions," Statistics and Probability Letters 2158, 1-7.
18. Pötscher, B. M., and I. R. Prucha. (1997). Dynamic Nonlinear Econometric Models, Asymptotic Theory. New York: Springer Verlag.
19. Schmidt, P. (1976). Econometrics. New York: Marcel Dekker.
20. Whittle, P. (1954). "On Stationary Processes in the Plane," Biometrica 41, 434-449.