I face the challenge of estimating a 2SLS (IV) model with a fractional (ranging between 0 and 1) outcome variable and spatially autocorrelated error terms (the data is spatially explicit, i.e. for each observation I have coordinates).

So far I achieved doing so but without accounting for the residual spatial autocorrelation by using fracivp STATA package (Williams), based on a first stage OLS regression, the fitted values of which are then regressed against the y in a fractional, probit-linked regression context. However, I would like to render the model also spatially autoregressive (as in package spivreg, which relies on a weight matrix to perform SAR-IV, but here without considering the possibility of the Y being fractional).

Is there a way in R/STATA - maybe combining multiple packages - to perform a 1)spatially autoregressive 2) 2SLS IV regression 3) with a fractional y variable?


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