Two-Stage Least Squares Estimation of Spatial Autoregressive Models with Endogenous Regressors and Many Instruments

DOI10.1080/07474938.2013.741018zbMath1491.62243OpenAlexW2067653809MaRDI QIDQ5080588

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Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2013.741018

zbMATH Keywords

2SLSspatial autoregressive modelendogenous regressorsinstrument selection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10)

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Cites Work

• HAC estimation in a spatial framework
• GMM estimation of social interaction models with centrality
• A test for spatial autocorrelation in seemingly unrelated regressions
• Estimation of simultaneous systems of spatially interrelated cross sectional equations.
• Asymptotic efficiency in estimation with conditional moment restrictions
• The Bias and Moment Matrix of the General k-Class Estimators of the Parameters in Simultaneous Equations
• MANY INSTRUMENTS ASYMPTOTIC APPROXIMATIONS UNDER NONNORMAL ERROR DISTRIBUTIONS
• Matrix Analysis
• Approximate Distributions of k-Class Estimators when the Degree of Overidentifiability is Large Compared with the Sample Size
• Alternative Approximations to the Distributions of Instrumental Variable Estimators
• Choosing the Number of Instruments
• Instrumental variable estimation based on grouped data
• A New Specification Test for the Validity of Instrumental Variables

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