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The Stata Journal
Volume 13 Number 2: pp. 287-301

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A command for estimating spatial-autoregressive models with spatial-autoregressive disturbances and additional endogenous variables

David M. Drukker
StataCorp
College Station, TX
[email protected]
 Ingmar R. Prucha
Department of Economics
University of Maryland
College Park, MD
[email protected]
Rafal Raciborski
StataCorp
College Station, TX
[email protected]
Abstract.  We describe the spivreg command, which estimates the parameters of linear cross-sectional spatial-autoregressive models with spatial-autoregressive disturbances, where the model may also contain additional endogenous variables as well as exogenous variables. spivreg uses results and the literature cited in Kelejian and Prucha (1998, Journal of Real Estate Finance and Economics 17: 99–121; 1999, International Economic Review 40: 509–533; 2004, Journal of Econometrics 118: 27–50; 2010, Journal of Econometrics 157: 53–67); Arraiz et al. (2010, Journal of Regional Science 50: 592–614); and Drukker, Egger, and Prucha (2013, Econometric Reviews 32: 686–733).
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View all articles with these keywords: spivreg, spatial-autoregressive models, Cliff–Ord models, generalized spatial two-stage least squares, instrumental-variable estimation, generalized method of moments estimation, spatial econometrics, spatial statistics

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