Arbeitspapier
Large-sample inference on spatial dependence
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP29/08
- Klassifikation
-
Wirtschaft
- Thema
-
Spatial dependence
Parameter estimation
Asymptotic theory
Independence testing
Schätztheorie
Räumliche Interaktion
Maximum-Likelihood-Methode
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Robinson, P. M.
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2008
- DOI
-
doi:10.1920/wp.cem.2008.2908
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Robinson, P. M.
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2008
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