Liu, Xiaodong; Lee, Lung-Fei - In: Econometric Reviews 32 (2013) 5-6, pp. 734-753
This paper considers the IV estimation of spatial autoregressive models with endogenous regressors in the presence of many instruments. To improve asymptotic efficiency, it may be desirable to use many valid instruments. However, finite sample properties of IV estimators can be sensitive to the...