Asymptotic Distribution of the OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model

We find the asymptotics of the OLS estimator of the parameters β and ρ in the spatial autoregressive model with exogenous regressors Yn = Xnβ+ρWnYn+Vn. Only low-level conditions are imposed. Exogenous regressors may be bounded or growing, like polynomial trends. The assumption on the spatial matrix Wn is appropriate for the situation when each economic agent is influenced by many others. The asymptotics contains both linear and quadratic forms in standard normal variables. The conditions and the format of the result are chosen in a way compatible with known results for the model without lags by Anderson (1971) and for the spatial model without exogenous regressors due to Mynbaev and Ullah (2006).