Kelejian, Harry H.; Prucha, Ingmar R.; Yuzefovich, Yevgeny - In: Spatial and spatiotemporal econometrics, (pp. 163-198). 2004
The purpose of this paper is two-fold. First, on a theoretical level we introduce a series-type instrumental variable (IV) estimator of the parameters of a spatial first order autoregressive model with first order autoregressive disturbances. We demonstrate that our estimator is asymptotically...
