Robinson, Peter (2009) Large-sample inference on spatial dependence. Econometrics journal, 12 (s1). S68-S82. ISSN 1368-423X
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.
|Additional Information:||© 2009 Wiley-Blackwell|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Economics
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