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 |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HA Statistics |
| Date Deposited: | 05 Apr 2011 11:48 |
| Last Modified: | 12 Apr 2024 17:54 |
| URI: | http://eprints.lse.ac.uk/id/eprint/30437 |
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