Ahrens, Achim; Bhattacharjee, Arnab - In: Econometrics : open access journal 3 (2015) 1, pp. 128-155
sparsity of the spatial weights matrix. The proposed estimation methodology exploits the Lasso estimator and mimics two …-stage least squares (2SLS) to account for endogeneity of the spatial lag. The developed two-step estimator is of more general … larger than the number of observations. We derive convergence rates for the two-step Lasso estimator. Our Monte Carlo …
