| The Journal of Real Estate Finance and Economics | |
| Volume 17, Issue 1, Article 6 (Abstract) | |
| Title: | A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances |
| Author: | Harry H. Kelejian and Ingmar R. Prucha |
| 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 autoregressive model, two stage least squares, generalized moments estimation |