Two-stage least squares estimation of spatial autoregressive models with endogenous regressors and many instruments

DOI10.1080/07474938.2013.741018MaRDI QIDQ5080588zbMATH OpenOpenAlexFDO

Authors

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

2SLSendogenous regressorsinstrument selectionspatial autoregressive model

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(17)

• Irregular N2SLS and Lasso estimation of the matrix exponential spatial specification model
• Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect
• Best Spatial Two‐Stage Least Squares Estimators for a Spatial Autoregressive Model with Autoregressive Disturbances
• Testing a linear relationship in varying coefficient spatial autoregressive models
• An Overview of Dependence in Cross-Section, Time-Series, and Panel Data
• GMM estimation of a spatial autoregressive model with autoregressive disturbances and endogenous regressors
• A Bayesian two-stage regression approach of analysing longitudinal outcomes with endogeneity and incompleteness
• Semiparametric estimation of censored spatial autoregressive models
• A note on 2SLS estimation of the mixed regressive spatial autoregressive model
• scientific article; zbMATH DE number 2222812 (Why is no real title available?)
• Welfare gains of the poor: an endogenous Bayesian approach with spatial random effects
• Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data
• Estimation and inference of high-dimensional partially linear spatial autoregressive models with linear constraints
• A nonparametric test for the heterogeneity of the spatial autoregressive parameter
• On the consistency of the LIML estimator of a spatial autoregressive model with many instruments
• Semiparametric spatial autoregressive models with nonlinear endogeneity
• Higher-order spatial autoregressive varying coefficient model: estimation and specification test

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