Lin, Xu; Lee, Lung-fei - In: Journal of Econometrics 157 (2010) 1, pp. 34-52
In the presence of heteroskedastic disturbances, the MLE for the SAR models without taking into account the heteroskedasticity is generally inconsistent. The 2SLS estimates can have large variances and biases for cases where regressors do not have strong effects. In contrast, GMM estimators...