Baltagi, Badi H.; Deng, Ying - Center for Policy Research, Maxwell School - 2012
This paper derives a 3SLS estimator for a simultaneous system of spatial autoregressive equations with random effects, which can therefore handle endoegeneity, spatial lag dependence, heterogeneity as well as cross equation correlation. This is done by utilizing the Kelejian and Prucha (1998)...