Dear Paul,
The papers referenced in the command help explain the use of the spatial
variables as instruments. The stsls is explained in the Kelejian and Prucha
1998.

Arraiz, I. and Drukker, M.D. and Kelejian, H.H. and Prucha, I.R. (2007) A
spatial Cliff-Ord-type Model with Heteroskedastic Innovations: Small and
Large Sample Results, Department of Economics, University of Maryland'

Kelejian, H.H. and Prucha, I.R. (2007) Specification and Estimation of
Spatial Autoregressive Models with Autoregressive and Heteroskedastic
Disturbances, Journal of Econometrics, forthcoming.

Kelejian, H.H. and Prucha, I.R. (1999) A Generalized Moments Estimator for
the Autoregressive Parameter in a Spatial Model, International Economic
Review, 40, pages 509--533.

Kelejian, H.H. and Prucha, I.R. (1998) A Generalized Spatial Two Stage
Least Square Procedure for Estimating a Spatial Autoregressive Model with
Autoregressive Disturbances, Journal of Real Estate Finance and Economics,
17, pages 99--121.


 You can also check consistency in the paper

On Two-step Estimation of a Spatial Autoregressive Model
with Autoregressive Disturbances and Endogenous Regressors
David M. DrukkerPeter Egger, and Ingmar R. Prucha
http://www.be.wvu.edu/econ_seminar/documents/11-12/Prucha1.pdf


On the GMM models
http://econweb.umd.edu/~prucha/papers/WP_IRP_HRS_2012.pdf


Hope this helps.

Juan



On Mon, May 6, 2013 at 2:14 PM, Roger Bivand <Roger.Bivand@nhh.no> wrote:
>
> On Mon, 6 May 2013, Feichtinger, Paul wrote:
>
>> Dear list members,
>>
>> I was wondering if someone could help me out. Estimating a general
spatial model (gstslshet) our model is likely to suffer from endogeneity
not only introduced by the spatial lag but also from other explanatory
variables. Is there any possibility to explicitly account for this
endogeneity (by using specific instruments)? Is it covered/dealt with in
some kind? Obviously I do not understand equation 4 in Piras (2010). I
>
>
> I suggest that you install the development version of sphet from R-forge:
>
> install.packages("sphet", repos="http://R-Forge.R-project.org")
>
> and look for spreg(), which is a wrapper function for the model-fitting
functions. You should look for the endog= and instruments= arguments, where:
>
> spreg(formula = CRIME ~ HOVAL, data = columbus, listw = listw,
>     endog = "INC", instruments = "DISCBD")
>
> is an example of usage.
>
> Hope this helps,
>
> Roger
>
>> read Anselin, Amaral and Arribas-Bel (2012) where they compare different
GMM implementations among others also with an endogenous explanatory
variable, but cannot reproduce the results in R sphet (problem is knitr,
sweave,... I never use that), which is the only spatial econometrics
software I use as I am a beginner. I would be really glad I someone could
explain me this issue.
>>
>> Best regards,
>>
>> Paul
>> ---
>> Technische Universit?t M?nchen - TUM
>> Paul Feichtinger
>> Lehrstuhl f?r Volkswirtschaftslehre, Umwelt?konomie und Agrarpolitik
>>
>>
>> Alte Akademie 14
>> 85354 Freising
>> Tel: +49.8161.71.3574
>> Fax: +49.8161.71.3408
>> e-mail: Paul.Feichtinger@tum.de
>>
>>
>>         [[alternative HTML version deleted]]
>>
>>
>
> --
> Roger Bivand
> Department of Economics, NHH Norwegian School of Economics,
> Helleveien 30, N-5045 Bergen, Norway.
> voice: +47 55 95 93 55; fax +47 55 95 95 43
> e-mail: Roger.Bivand@nhh.no
>
> _______________________________________________
> R-sig-Geo mailing list
> R-sig-Geo@r-project.org
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo




-- 
Juan Tomás Sayago Gómez
Graduate Research Assistant
West Virginia University - RRI
886 Chestnut Ridge Road, Room 520
P.O. Box 6825
Morgantown, WV 26506-6825

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