GMM Estimation of a Partially Linear Additive Spatial Error Model

Abstract

This article presents a partially linear additive spatial error model (PLASEM) specification and its corresponding generalized method of moments (GMM). It also derives consistency and asymptotic normality of estimators for the case with a single nonparametric term and an arbitrary number of nonparametric additive terms under some regular conditions. In addition, the finite sample performance for our estimates is assessed by Monte Carlo simulations. Lastly, the proposed method is illustrated by analyzing Boston housing data.