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...

An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the Ín-rate in a regular case. We propose to estimate such models by the...

This paper studies large sample properties of the matrix exponential spatial specification (MESS). We find that the quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the general model that has...

This paper studies large sample properties of the matrix exponential spatial specification (MESS). We find that the quasi-maximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a property not shared by the QMLE of the SAR model. For the general model that has...

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...

An information matrix of a parametric model being singular at a certain true value of a parameter vector is irregular. The maximum likelihood estimator in the irregular case usually has a rate of convergence slower than the √n-rate in a regular case. We propose to estimate such models by the...

We model network formation and interactions under a unified framework by considering that individuals anticipate the effect of network structure on the utility of network interactions when choosing links. There are two advantages of this modeling approach: first, we can evaluate whether network...

We analyze delinquent networks of adolescents in the United States. We develop a dynamic network formation model showing who the key player is, i.e. the criminal who once removed generates the highest possible reduction in aggregate crime level. We then structurally estimate our model using data...