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Large-sample inference on spatial dependence

Robinson, Peter (2009) Large-sample inference on spatial dependence. Econometrics Journal, 12 (s1). S68-S82. ISSN 1368-423X

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Abstract

We consider cross-sectional data that exhibit no spatial correlation, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial 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. Asymptotically valid tests for spatial independence are developed.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2009 Wiley-Blackwell
Library of Congress subject classification: H Social Sciences > HA Statistics
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 05 Apr 2011 11:48
URL: http://eprints.lse.ac.uk/30437/

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