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Serial and spatial error correlation

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  • Elhorst, J. Paul

Abstract

This paper demonstrates that jointly modeling serial and spatial error correlation results in a trade-off between the serial and spatial autocorrelation coefficients. Ignoring this trade-off causes inefficiency and may lead to nonstationarity.

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File URL: http://www.sciencedirect.com/science/article/B6V84-4S21TH9-7/2/39c2ff76cc876957bbaaf7b4462c6b69
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 100 (2008)
Issue (Month): 3 (September)
Pages: 422-424

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Handle: RePEc:eee:ecolet:v:100:y:2008:i:3:p:422-424

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Web page: http://www.elsevier.com/locate/ecolet

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References

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  1. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, Elsevier, vol. 140(1), pages 97-130, September.
  2. Jeffrey P. Cohen & Catherine J. Morrison Paul, 2004. "Public Infrastructure Investment, Interstate Spatial Spillovers, and Manufacturing Costs," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 551-560, May.
  3. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-33, May.
  4. Baltagi, Badi H. & Heun Song, Seuck & Cheol Jung, Byoung & Koh, Won, 2007. "Testing for serial correlation, spatial autocorrelation and random effects using panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 140(1), pages 5-51, September.
  5. Elhorst, J.P., 2000. "Dynamic models in space and time," Research Report 00C16, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
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Cited by:
  1. Millo, Giovanni, 2014. "Maximum likelihood estimation of spatially and serially correlated panels with random effects," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 71(C), pages 914-933.
  2. Craig, Ben & Koetter, Michael & Kr├╝ger, Ulrich, 2014. "Interbank lending and distress: Observables, unobservables, and network structure," Discussion Papers 18/2014, Deutsche Bundesbank, Research Centre.
  3. Caliman, Tiziana & Di Bella, Enrico, 2011. "House Price Dynamics in Italy - La dinamica delle quotazioni immobiliari in Italia," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 64(1), pages 37-65.
  4. Harry H. Kelejian & Gianfranco Piras, 2013. "A J-Test for Panel Models with Fixed Effects, Spatial and Time," Working Papers 201303, Regional Research Institute, West Virginia University.

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