Asymptotic distribution of the OLS estimator for a mixed spatial model

We find the asymptotic distribution of the OLS estimator of the parameters β and ρ in the mixed spatial model with exogenous regressors Y_n=X_nβ+ρW_nY_n+V_n. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix W_n is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic distribution contains both linear and quadratic forms in standard normal variables and is not normal.