GMM and 2SLS estimation of mixed regressive, spatial autoregressive models

The GMM method and the classical 2SLS method are considered for the estimation of mixed regressive, spatial autoregressive models. These methods have computational advantage over the conventional maximum likelihood method. The proposed GMM estimators are shown to be consistent and asymptotically normal. Within certain classes of GMM estimators, best ones are derived. The proposed GMM estimators improve upon the 2SLS estimators and are applicable even if all regressors are irrelevant. A best GMM estimator may have the same limiting distribution as the ML estimator (with normal disturbances). (C) 2006 Elsevier B.V.. All rights reserved.