Dear list users,


>From the package spdep, I understood that GMM-2SLS procedure can be applied
to spatial cross-sectional regression models (without heteroscedastic
innovations) as in the following and I wonder if I get it correct:

-  “gstsls” (generalized spatial two stage least squares) command for SARAR
(SAC) models

- “stsls” (spatial two stage least squares) command for spatial lag models

- “GMerrorsar” command for spatial error model.

I wonder if each command -with some alterations- can be used
interchangeably. In particular, is there a way to directly estimate a GM
process for SARAR and spatial lag models? Or if not, do they use the same
methodology with S2SLS (as in Kelejian and Prucha 1998, 1999)?


Thanks in advance,

Best regards,


Pelin Akcagun

Middle East Technical University

Turkey

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