INSTRUMENTAL VARIABLE ESTIMATION OF A SPATIAL AUTOREGRESSIVE MODEL WITH AUTOREGRESSIVE DISTURBANCES: LARGE AND SMALL SAMPLE RESULTS

By Harry H. Kelejian, Ingmar R. Prucha, Yevgeny Yuzefovich. 2004

163 citations recorded by the source corpus.

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In Economics and Econometrics

Citations in the corpus

Thirty years of spatial econometrics (2010, background): “…(ML) and generalized method of moments (GMM) estimators.6 Among others, this includes a formal proof of the asymptotic distribution of ML and quasi-ML estimators in Lee (2004), and the derivation of optimal GMM estimators in Lee (2003, 2007) (see also Das et al. 2003; Kelejian et al. 2004).”
Panel data models with spatially correlated error components (2007, background): “In recent paper, Lee (2003) and Kelejian et al. (2004) extend their approach towards the ideal instruments.”
Estimation of Higher-Order Spatial Autoregressive Panel Data Error Component Models (2009, background): “1 See Cliff and Ord (1973, 1981), Anselin (1988), and Cressie (1993) for classic references about spatial econometric models in general.”
On model specification and parameter space definitions in higher order spatial econometric models (2012, methodology): “In matrix notation, the same spatial autoregressive process can be rewritten as: Y ¼ δWY þ ε: ð2Þ This model can be estimated by maximum likelihood (Ord, 1975), quasi-maximum likelihood (Lee, 2004), instrumental variables1 (Kelejian and Prucha, 1998; Kelejian et al., 2004; Lee, 2003), generalized me”
Errors in variables and spatial effects in hedonic house price models of ambient air quality (2008, background): “…two stage least squares estimator is an extension of the standard two stage least squares estimator that includes specific instruments for the spatially lagged dependent variable (see Anselin 1980, 1988; Kelejian and Robinson 1993; Kelejian and Prucha 1998; Kelejian et al. 2004; Lee 2003, 2006).”
On Two-Step Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances and Endogenous Regressors (2013, unknown): “…(2003); Blonigen et al. (2007), Bao and Ullah (2007), Conley (1999), Das et al. (2003), Kelejian and Prucha (1998, 1999, 2001, 2004, 2007, 2010), Kelejian et al. (2004), Kapoor et al. (2007), Lee (2002, 2003, 2004), LeSage (1997, 2000), Lin and Lee (2010), Lin and Lee (2010), Lin and Lee…”
Comparing Implementations of Estimation Methods for Spatial Econometrics (2015, background): “Given the reduced form of the model it follows that the best instruments can be expressed in terms of the E ( Wy ) = W ( I − ρ Lag W ) − 1 X β (Lee 2003, 2007; Kelejian, Prucha, and Yuzefovich 2004; Das, Kelejian, and Prucha 2003).”