Lee, Lung-fei; Liu, Xiaodong - In: Econometric Theory 26 (2010) 01, pp. 187-230
In this paper, we extend the GMM framework for the estimation of the mixed-regressive spatial autoregressive model by Lee(2007a) to estimate a high order mixed-regressive spatial autoregressive model with spatial autoregressive disturbances. Identification of such a general model is considered....