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OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version

Mynbaev, Kairat (2009): OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version.

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Abstract

We find the asymptotic distribution of the OLS estimator of the parameters $% \beta$ and $\rho$ in the mixed spatial model with exogenous regressors $% Y_n=X_n\beta+\rho W_nY_n+V_n$. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix $W_n $ is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic distribution contains both linear and quadratic forms in standard normal variables and is not normal.

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