Liu, Xiaodong; Lee, Lung-fei; Bollinger, Christopher R. - In: Journal of Econometrics 159 (2010) 2, pp. 303-319
In this paper, we consider GMM estimation of the regression and MRSAR models with SAR disturbances. We derive the best GMM estimator within the class of GMM estimators based on linear and quadratic moment conditions. The best GMM estimator has the merit of computational simplicity and asymptotic...
