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

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Author Info

  • Harry H. Kelejian

    ()
    (Department of Economics, University of Maryland)

  • Ingmar R. Prucha

    ()
    (Department of Economics, University of Maryland)

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    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.

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    File URL: http://www.econweb.umd.edu/papers/pk3.pdf
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    Bibliographic Info

    Paper provided by University of Maryland, Department of Economics in its series Electronic Working Papers with number 97-002.

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    Date of creation: Apr 1997
    Date of revision: Aug 1997
    Handle: RePEc:umd:umdeco:97-002

    Contact details of provider:
    Postal: Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742
    Web page: http://www.econ.umd.edu/

    Order Information:
    Postal: Ms. Elizabeth Martinez, Department of Economics, University of Maryland, Tydings Hall, College Park, MD 20742
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    Related research

    Keywords: Spatial Models; Autocorrelation; Two Stage Least Squares; Generalized Moments Estimator;

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    References

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    1. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July.
    2. Case, Anne C. & Rosen, Harvey S. & Hines, James Jr., 1993. "Budget spillovers and fiscal policy interdependence : Evidence from the states," Journal of Public Economics, Elsevier, vol. 52(3), pages 285-307, October.
    3. Blommestein, Hans J., 1983. "Specification and estimation of spatial econometric models : A discussion of alternative strategies for spatial economic modelling," Regional Science and Urban Economics, Elsevier, vol. 13(2), pages 251-270, May.
    4. Anselin, Luc, 1990. "Some robust approaches to testing and estimation in spatial econometrics," Regional Science and Urban Economics, Elsevier, vol. 20(2), pages 141-163, September.
    5. Anselin, Luc & Bera, Anil K. & Florax, Raymond & Yoon, Mann J., 1996. "Simple diagnostic tests for spatial dependence," Regional Science and Urban Economics, Elsevier, vol. 26(1), pages 77-104, February.
    6. Case, Anne, 1992. "Neighborhood influence and technological change," Regional Science and Urban Economics, Elsevier, vol. 22(3), pages 491-508, September.
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    Cited by:
    1. Alejandro Esteller & Albert Solé, 2001. "Tax Setting in a Federal System: The Case of Personal Income Taxation in Canada," Working Papers 2001/9, Institut d'Economia de Barcelona (IEB).
    2. Fredriksson, Per G. & List, John A. & Millimet, Daniel L., 2004. "Chasing the smokestack: strategic policymaking with multiple instruments," Regional Science and Urban Economics, Elsevier, vol. 34(4), pages 387-410, July.
    3. Millimet, Daniel L. & Rangaprasad, Vasudha, 2007. "Strategic competition amongst public schools," Regional Science and Urban Economics, Elsevier, vol. 37(2), pages 199-219, March.

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