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Large-sample inference on spatial dependence

Robinson, Peter (2008) Large-sample inference on spatial dependence. Econometrics Papers, EM/2009/533. Suntory Centre, London School of Economics and Political Science, 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
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: EM/2009/533
Date Deposited: 12 Oct 2009 15:39
URL: http://eprints.lse.ac.uk/25472/

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