FINGLETON, Bernard; GALLO, Julie LE - In: Annales d'Economie et de Statistique (2007) 87-88, pp. 39-62
This paper extends Kelejian and Prucha's [1998] feasible generalized spatial two-stage least squares (FGS2SLS) estimator to account for endogenous variables due to system feedback, given an autoregressive or a moving average error process. An empirical example illustrating the different...