Estimation of spatial autoregressive models with covariate measurement errors

In this paper, linear spatial autoregressive (SAR) models with covariate measurement errors are studied. A three-stage least squares (3SLS) estimation method both with Berkson’s and classical types of instrumental variables is proposed and asymptotic normality of the proposed estimator using each type of instrumental variables is derived under mild conditions. Simulation studies are conducted to investigate the finite sample performance of the proposed estimator. A real data example is used to illustrate the developed method.