How to estimate a SDM with IV method?
Hi, I have a cross section of 158 spatial units. Robust LM tests suggest me to estimate a Spatial Durbin Model (SDM). However, given the non-normality of OLS residuals, the presence of heteroschedasticity and the presence of one endogenous explanatory variable, I should not use the classic "lagsarlm" function, since I should not use ML methods. The point is that I did not find any package in R that estimate a SDM with IV method (hence correcting for endogeneity and heteroschedasticity). Would you suggest any strategy? Paolo