Robinson, Peter (2008) Large-sample inference on spatial dependence. Econometrics Papers (EM/2009/533). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
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Abstract
We consider cross-sectional data that exhibit no spatial correla- tion, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of nancial econometrics, entailing a form of spatial autoregression, can explain such behaviour. The parameters are estimated by pseudo Gaussian maximum likelihood based on log-transformed squares, and consistency and asymptotic normality are established. Asymptot- ically valid tests for spatial independence are developed.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk/_new/publications/series.... |
| Additional Information: | © 2008 Peter Robinson |
| Divisions: | Economics STICERD |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors |
| Date Deposited: | 12 Oct 2009 15:39 |
| Last Modified: | 13 Sep 2024 20:08 |
| URI: | http://eprints.lse.ac.uk/id/eprint/25472 |
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