Modeling Non-Linear Spatial Dynamics: A Family of Spatial STAR Models and an Application to U.S. Economic Growth
AbstractThis paper investigates non-linearity in spatial processes models and allows for a gradual regime-switching structure in the form of a smooth transition autoregressive process. Until now, applications of the smooth transition autoregressive (STAR) model have been largely confined to the time series context. The paper focuses on extending the non-linear smooth transition perspective to spatial processes models, in which spatial correlation is taken into account through the use of a so-called weights matrix identifying the topology of the spatial system. We start by deriving a non-linearity test for a simple spatial model, in which spatial correlation is only included in the transition function. Next, we propose a non-linearity test for a model that includes a spatially lagged dependent variable or spatially autocorrelated innovations as well. Monte Carlo simulations of the various test statistics are performed to examine their power and size. The proposed modeling framework is then used to identify convergence clubs in the context of U.S. county-level economic growth over the period 1963–2003.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida with number 6518.
Date of creation: 2008
Date of revision:
Contact details of provider:
Postal: 555 East Wells Street, Suite 1100, Milwaukee, Wisconsin 53202
Phone: (414) 918-3190
Fax: (414) 276-3349
Web page: http://www.aaea.org
More information through EDIRC
spatial econometrics; non-linearity; utoregressive smooth transition; Research Methods/ Statistical Methods; C12; C21; C51; O18; R11;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- O18 - Economic Development, Technological Change, and Growth - - Economic Development - - - Urban, Rural, Regional, and Transportation Analysis; Housing; Infrastructure
- R11 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-18 (All new papers)
- NEP-ECM-2008-11-18 (Econometrics)
- NEP-GEO-2008-11-18 (Economic Geography)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
- Fabio Canova, 1997.
"Testing for convergence clubs in income per-capita: A predictive density approach,"
Economics Working Papers
404, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1999.
- Fabio Canova, 2004. "Testing for Convergence Clubs in Income Per Capita: A Predictive Density Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(1), pages 49-77, 02.
- Canova, Fabio, 2001. "Testing for convergence clubs in income per-capita : a predictive density approach," HWWA Discussion Papers 139, Hamburg Institute of International Economics (HWWA).
- Canova, Fabio, 1999. "Testing for Convergence Clubs in Income per-capita: A Predictive Density Approach," CEPR Discussion Papers 2201, C.E.P.R. Discussion Papers.
- Ahmad Baharumshah & Venus Liew, 2006. "Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models," Open Economies Review, Springer, vol. 17(2), pages 235-251, April.
- Timothy Conley & Francesca Molinari, 2005.
"Spatial correlation robust inference with Errors in Location or Distance,"
CeMMAP working papers
CWP10/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Conley, Timothy G. & Molinari, Francesca, 2007. "Spatial correlation robust inference with errors in location or distance," Journal of Econometrics, Elsevier, vol. 140(1), pages 76-96, September.
- Conley, Timothy G. & Molinari, Francesca, 2005. "Spatial Correlation Robust Inference with Errors in Location or Distance," Working Papers 05-12, Cornell University, Center for Analytic Economics.
- Lee, Lung-fei, 2007. "The method of elimination and substitution in the GMM estimation of mixed regressive, spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 140(1), pages 155-189, September.
- Skalin, Joakim & Teräsvirta, Timo, 1998.
"Modelling asymmetries and moving equilibria in unemployment rates,"
Working Paper Series in Economics and Finance
262, Stockholm School of Economics, revised 05 Oct 1998.
- Skalin, Joakim & Ter svirta, Timo, 2002. "Modeling Asymmetries And Moving Equilibria In Unemployment Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 6(02), pages 202-241, April.
- Julie Le Gallo & Sandy Dall'erba, 2006. "Evaluating the Temporal and Spatial Heterogeneity of the European Convergence Process, 1980-1999," Journal of Regional Science, Wiley Blackwell, vol. 46(2), pages 269-288.
- Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156.
- Breandán Ã'hUallacháin, 2008. "Regional growth transition clubs in the United States," Papers in Regional Science, Wiley Blackwell, vol. 87(1), pages 33-53, 03.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.