This study develops a methodology of inference for a widely used Cliff-Ord type spatial model containing spatial lags in the dependent variable, exogenous variables, and the disturbance terms, while allowing for unknown heteroskedasticity in the innovations. We first generalize the GMM estimator...

Time series regression models that have autoregressive errors are often estimated by two-stage procedures which are based on the Cochrane-Orcutt (1949) transformation. It seems natural to also attempt the estimation of spatial regression models whose error terms are autoregressive in terms of an...