This paper proposes estimating linear dynamic panels by explicitly exploiting the endogeneity of lagged dependent variables and expressing the crossmoments between the endogenous lagged dependent variables and disturbances in terms of model parameters. These moments, when recentered, form the...

The ordinary least squares (OLS) estimator for spatial autoregressions may be consistent as pointed out by Lee (2002), provided that each spatial unit is influenced aggregately by a significant portion of the total units. This paper presents a unified asymptotic distribution result of the...