IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v29y2008i4p673-694.html
   My bibliography  Save this article

Statistical analysis of a spatio‐temporal model with location‐dependent parameters and a test for spatial stationarity

Author

Listed:
  • Suhasini Subba Rao

Abstract

. In this article, we define a spatio‐temporal model with location‐dependent parameters to describe temporal variation and spatial nonstationarity. We consider the prediction of observations at unknown locations using known neighbouring observations. Further, we propose a local least squares‐based method to estimate the parameters at unobserved locations. The sampling properties of these estimators are investigated. We also develop a statistical test for spatial stationarity. To derive the asymptotic results, we show that the spatially nonstationary process can be locally approximated by a spatially stationary process. We illustrate the methods of estimation with some simulations.

Suggested Citation

  • Suhasini Subba Rao, 2008. "Statistical analysis of a spatio‐temporal model with location‐dependent parameters and a test for spatial stationarity," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(4), pages 673-694, July.
    • Handle: RePEc:bla:jtsera:v:29:y:2008:i:4:p:673-694
    DOI: 10.1111/j.1467-9892.2008.00577.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.2008.00577.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.2008.00577.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Myoungji Lee & Marc G. Genton & Mikyoung Jun, 2016. "Testing Self-Similarity Through Lamperti Transformations," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 426-447, September.
    2. Guillermo Ferreira & Jorge Mateu & Emilio Porcu, 2018. "Spatio-temporal analysis with short- and long-memory dependence: a state-space approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 221-245, March.
    3. Al-Sulami, Dawlah & Jiang, Zhenyu & Lu, Zudi & Zhu, Jun, 2017. "Estimation for semiparametric nonlinear regression of irregularly located spatial time-series data," Econometrics and Statistics, Elsevier, vol. 2(C), pages 22-35.
    4. Huitong Qiu & Fang Han & Han Liu & Brian Caffo, 2016. "Joint estimation of multiple graphical models from high dimensional time series," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 487-504, March.
    5. Yuan Yan & Hsin-Cheng Huang & Marc G. Genton, 2021. "Vector Autoregressive Models with Spatially Structured Coefficients for Time Series on a Spatial Grid," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 26(3), pages 387-408, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Gerardo Manzo & Antonio Picca, 2020. "The Impact of Sovereign Shocks," Management Science, INFORMS, vol. 66(7), pages 3113-3132, July.
    2. António Afonso & Yasfir Ibraimo, 2020. "The macroeconomic effects of public debt: an empirical analysis of Mozambique," Applied Economics, Taylor & Francis Journals, vol. 52(2), pages 212-226, January.
    3. Ignacio Lozano Espitia & Karen Rodríguez, 2009. "Assessing the Macroeconomic Effects of Fiscal," Borradores de Economia 5386, Banco de la Republica.
    4. Sunil S. Poshakwale & Pankaj Chandorkar, 2019. "The Impact of Aggregate and Disaggregate Consumption Shocks on the Equity Risk Premium in the United Kingdom," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 489-524, November.
    5. Wang, Yuanyuan & Chi, Yuanying & Xu, Jin-Hua & Yuan, Yongke, 2022. "Consumers’ attitudes and their effects on electric vehicle sales and charging infrastructure construction: An empirical study in China," Energy Policy, Elsevier, vol. 165(C).
    6. Harald Schmidbauer & Angi Roesch & Erhan Uluceviz, 2013. "Market Connectedness: Spillovers, Information Flow, and Relative Market Entropy," Koç University-TUSIAD Economic Research Forum Working Papers 1320, Koc University-TUSIAD Economic Research Forum.
    7. Cubadda, Gianluca & Hecq, Alain & Palm, Franz C., 2009. "Studying co-movements in large multivariate data prior to multivariate modelling," Journal of Econometrics, Elsevier, vol. 148(1), pages 25-35, January.
    8. Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016. "Large Bayesian VARMAs," Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
    9. Sucarrat, Genaro & Grønneberg, Steffen & Escribano, Alvaro, 2016. "Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 582-594.
    10. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, September.
    11. Ashima Goyal & Akhilesh K. Verma & Rajeswari Sengupta, 2022. "External shocks, cross-border flows and macroeconomic risks in emerging market economies," Empirical Economics, Springer, vol. 62(5), pages 2111-2148, May.
    12. Olugbenga Onafowora & Oluwole Owoye, 2019. "Impact of external debt shocks on economic growth in Nigeria: a SVAR analysis," Economic Change and Restructuring, Springer, vol. 52(2), pages 157-179, May.
    13. Ana María Iregui & Jesús Otero, 2013. "A Spatiotemporal Analysis of Agricultural Prices: An Application to Colombian Data," Agribusiness, John Wiley & Sons, Ltd., vol. 29(4), pages 497-508, September.
    14. Tomasz Woźniak, 2016. "Bayesian Vector Autoregressions," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 49(3), pages 365-380, September.
    15. Cudjoe, Godsway & Breisinger, Clemens & Diao, Xinshen, 2010. "Local impacts of a global crisis: Food price transmission, consumer welfare and poverty in Ghana," Food Policy, Elsevier, vol. 35(4), pages 294-302, August.
    16. Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
    17. Gaudeul, Alexia & Giannetti, Caterina, 2011. "The role of reciprocation in social network formation, with an application to blogging," MPRA Paper 34094, University Library of Munich, Germany.
    18. Yang, Sharon S. & Wang, Chou-Wen, 2013. "Pricing and securitization of multi-country longevity risk with mortality dependence," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 157-169.
    19. Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
    20. Angela S. Bergantino & Claudia Capozza & Mauro Capurso, 2018. "Pricing strategies: who leads and who follows in the air and rail passenger markets in Italy," Applied Economics, Taylor & Francis Journals, vol. 50(46), pages 4937-4953, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:29:y:2008:i:4:p:673-694. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.