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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 1368-4221

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Identification Number: 10.1111/j.1368-423X.2008.00264.x

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
Subjects: H Social Sciences > HA Statistics
Sets: Departments > Economics
Collections > Economists Online
Date Deposited: 05 Apr 2011 11:48
Last Modified: 30 Oct 2017 11:53
URI: http://eprints.lse.ac.uk/id/eprint/30437

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