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Some correlation properties of spatial autoregressions

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Martellosio, Federico

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Abstract

This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix and the autocorrelation parameter. An interpretation of the covariance structure of the process is provided, based on the walks connecting the spatial units. The interpretation serves to explain a number of correlation properties of SAR(1) processes, and clarifies why in practical applications it is difficult, or even impossible, to use SAR(1) processes to impose some desired correlation properties on a given data set.

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File URL: http://mpra.ub.uni-muenchen.de/13141/
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File URL: http://mpra.ub.uni-muenchen.de/17254/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 13141.

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Date of creation: Sep 2009
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Handle: RePEc:pra:mprapa:13141

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Related research
Keywords: simultaneous autoregressions; spatial autocorrelation; spatial weights matrices; walks in graphs.;

Find related papers by JEL classification:
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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  1. Case, Anne C, 1991. "Spatial Patterns in Household Demand," Econometrica, Econometric Society, vol. 59(4), pages 953-65, July. [Downloadable!] (restricted)
  2. Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July. [Downloadable!] (restricted)
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This page was last updated on 2009-11-28.

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