English, Article edition: Large-sample inference on spatial dependence P. M. Robinson

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Bookmark: http://trove.nla.gov.au/version/26332
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  • article
Language
  • English

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Title
  • Large-sample inference on spatial dependence
Author
  • P. M. Robinson
Physical Description
  • article
Notes
  • 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. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009
  • RePEc:ect:emjrnl:v:12:y:2009:i:s1:p:s68-s82
Language
  • English
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