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

by: Harry H. Kelejian, Ingmar R. Prucha

The Journal of Real Estate Finance and Economics, Vol. 17, No. 1. (1 July 1998), pp. 99-121.

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2sls autoregressive econometrics estimation generalized gme model moments spatial

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Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computationally simple procedure for estimating cross-sectional models that contain both of these characteristics. We also give formal large-sample results.

@article{citeulike:4635949, abstract = {Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computationally simple procedure for estimating cross-sectional models that contain both of these characteristics. We also give formal large-sample results.}, author = {Kelejian, Harry H. and Prucha, Ingmar R.}, citeulike-article-id = {4635949}, citeulike-linkout-0 = {http://dx.doi.org/10.1023/A:1007707430416}, citeulike-linkout-1 = {http://www.springerlink.com/content/g4r27454px237115}, day = {1}, doi = {10.1023/A:1007707430416}, journal = {The Journal of Real Estate Finance and Economics}, keywords = {2sls, autoregressive, econometrics, estimation, generalized, gme, model, moments, spatial}, month = {July}, number = {1}, pages = {99--121}, posted-at = {2009-05-26 13:26:14}, priority = {2}, title = {A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances}, url = {http://dx.doi.org/10.1023/A:1007707430416}, volume = {17}, year = {1998} }

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TY - JOUR ID - citeulike:4635949 L3 - citeulike-article-id:4635949 N2 - Cross-sectional spatial models frequently contain a spatial lag of the dependent variable as a regressor or a disturbance term that is spatially autoregressive. In this article we describe a computationally simple procedure for estimating cross-sectional models that contain both of these characteristics. We also give formal large-sample results. IS - 1 JF - The Journal of Real Estate Finance and Economics EP - 121 TI - A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances VL - 17 SP - 99 KW - 2sls KW - autoregressive KW - econometrics KW - estimation KW - generalized KW - gme KW - model KW - moments KW - spatial AU - Kelejian, Harry AU - Prucha, Ingmar PY - 1998/07/01/ UR - http://dx.doi.org/10.1023/A:1007707430416 ER -

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

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