Drukker, David M.; Egger, Peter; Prucha, Ingmar R. - In: Econometric Reviews 32 (2013) 5-6, pp. 686-733
In this paper, we consider a spatial-autoregressive model with autoregressive disturbances, where we allow for endogenous regressors in addition to a spatial lag of the dependent variable. We suggest a two-step generalized method of moments (GMM) and instrumental variable (IV) estimation...