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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 and Toyota International Centres for Economics and Related Disciplines, London, UK.

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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:
Additional Information: © 2008 Peter Robinson
Divisions: Economics
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: 16 May 2024 11:46

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