This paper suggests an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are different from observable regression residuals. Although this difference decreases in large samples, it is...

This paper suggests an improved GMM estimator for the autoregressive parameter of a spatial autoregressive error model by taking into account that unobservable regression disturbances are di.erent from observable regression residuals. Although this di.erence decreases in large samples, it is...