In this paper, we consider GMM estimation of the regression and MRSAR models with SAR disturbances. We derive the best GMM estimator within the class of GMM estimators based on linear and quadratic moment conditions. The best GMM estimator has the merit of computational simplicity and asymptotic...

This paper considers the specification and estimation of social interaction models with network structures and the presence of endogenous, contextual, correlated, and group fixed effects. When the network structure in a group is captured by a graph in which the degrees of nodes are not all...

This paper develops a nonlinear spatial autoregressive model. Of particular interest is a structural interaction model for share data. We consider possible instrumental variable (IV) and maximum likelihood estimation (MLE) for this model, and analyze asymptotic properties of the IV and MLE based...