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A command for estimating spatial-autoregressive models with spatial-autoregressive disturbances and additional endogenous variables

  • David M. Drukker

    ()

    (StataCorp)

  • Ingmar Prucha

    ()

    (University of Maryland)

  • Rafal Raciborski

    ()

    (StataCorp)

We describe the spivreg command, which estimates the parameters of linear cross-sectional spatial-autoregressive models with spatial-autoregressive disturbances, where the model may also contain additional endogenous variables as well as exogenous variables. spivreg uses results and the literature cited in Kelejian and Prucha (1998, Journal of Real Estate Finance and Economics 17: 99–121; 1999, International Economic Review 40: 509–533; 2004, Journal of Econometrics 118: 27–50; 2010, Journal of Econometrics 157: 53–67); Arraiz et al. (2010, Journal of Regional Science 50: 592–614); and Drukker, Egger, and Prucha (2013, Econometric Reviews 32: 686–733). Copyright 2013 by StataCorp LP.

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Article provided by StataCorp LP in its journal Stata Journal.

Volume (Year): 13 (2013)
Issue (Month): 2 (June)
Pages: 287-301

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Handle: RePEc:tsj:stataj:y:13:y:2013:i:2:p:287-301
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  1. David M. Drukker & Ingmar Prucha & Rafal Raciborski, 2013. "Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances," Stata Journal, StataCorp LP, vol. 13(2), pages 221-241, June.
  2. Steven D. Levitt, 1995. "Using Electoral Cycles in Police Hiring to Estimate the Effect of Policeon Crime," NBER Working Papers 4991, National Bureau of Economic Research, Inc.
  3. Irani Arraiz & David M. Drukker & Harry H. Kelejian & Ingmar R. Prucha, 2008. "A Spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and Large Sample Results," CESifo Working Paper Series 2485, CESifo Group Munich.
  4. David M. Drukker & Peter Egger & Ingmar R. Prucha, 2013. "On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 32(5-6), pages 686-733, August.
  5. Harry H. Kelejian & Ingmar R. Prucha, 1997. "A Generalized Spatial Two Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," Electronic Working Papers 97-002, University of Maryland, Department of Economics, revised Aug 1997.
  6. David M. Drukker & Hua Peng & Ingmar Prucha & Rafal Raciborski, 2013. "Creating and managing spatial-weighting matrices with the spmat command," Stata Journal, StataCorp LP, vol. 13(2), pages 242-286, June.
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