This paper extends the instrumental variable estimators of Kelejian and Prucha (1998) and Lee (2003) proposed for the cross-sectional spatial autoregressive model to the random effects spatial autoregressive panel data model. It also suggests an extension of the Baltagi (1981) error component 2SLS estimator to this spatial panel model.
Baltagi, Badi and Liu, Long, "Instrumental Variable Estimation of a Spatial Autoregressive Panel Model with Random Effects" (2011). Economics Faculty Scholarship. 91.
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