Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

Generalized Spatial Two Stage Least Squares Estimation of Spatial Autoregressive Models with Autoregressive Disturbances in the Presence of Endogenous Regressors and Many Instruments

This paper studies the generalized spatial two stage least squares (GS2SLS) estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators asymptotically, b...

Full description

Bibliographic Details
Main Authors: Fei Jin, Lung-fei Lee
Format: Article
Language:English
Published: MDPI AG 2013-05-01
Series:Econometrics
Subjects:
spatial autoregressive
spatial error
2SLS
endogenous regressor
instrumental variable selection
Online Access:http://www.mdpi.com/2225-1146/1/1/71

Internet

http://www.mdpi.com/2225-1146/1/1/71

Similar Items