Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances

Drukker, David M.; Prucha, Ingmar R.; Raciborski, Rafal

doi:st0291

Drukker, David M.; Prucha, Ingmar R.; Raciborski, Rafal

2013

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Abstract

We describe the spreg command, which implements a maximum likelihood estimator and a generalized spatial two-stage least-squares estimator for the parameters of a linear cross-sectional spatial-autoregressive model with spatial-autoregressive disturbances.

Details

Title

Maximum likelihood and generalized spatial two-stage least-squares estimators for a spatial-autoregressive model with spatial-autoregressive disturbances

Keywords

spreg; spatial-autoregressive models; Cliff–Ord models; maximum likelihood estimation; generalized spatial two-stage least squares; in-stru-men-tal-variable estimation; generalized method of moments estimation; prediction; spatial econometrics; spatial statistics

Author(s)

Drukker, David M.
Prucha, Ingmar R.
Raciborski, Rafal

Subject(s)

Research Methods/Statistical Methods

Issue Date

2013

Publication Type

Journal Article

DOI and Other Identifiers

10.22004/ag.econ.243190
st0291 (Other)