Parameter spaces for stationary DGPs in spatial econometric modelling
AbstractUnlike the time series literature the spatial econometric literature has not really dealt with the issue of the parameter space. This paper shows that current parameter space concepts for spatial econometric DGPs are inadequate. It proves that the parameter space proposed by Kelejian and Prucha 2008 can result in nonstationary DGPs, while the parameter space proposed by Lee and Liu 2010 can be too restrictive in applied cases. Furthermore it is discussed that the practice of row standardizing lacks a mathematical foundation. Due to these problems concerning the current parameter space consepts, this paper provides a new deâ€¦nition for the spatial econometric parameter space. It is able to show which assumptions are necessary to give row standardizing the needed mathematical foundation. Finally two additional applications for the new parameter space deâ€¦nition concerning models with group interaction and panels with fixed cross section sample size are provided. Both applications result in parameter spaces that are substantially larger than the ones the literature would so far considered to be stationary.
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 European Regional Science Association in its series ERSA conference papers with number ersa11p1147.
Date of creation: Sep 2011
Date of revision:
Contact details of provider:
Postal: Welthandelsplatz 1, 1020 Vienna, Austria
Web page: http://www.ersa.org
This paper has been announced in the following NEP Reports:
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.:
- Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, Elsevier, vol. 154(2), pages 165-185, February.
- Lee, Lung-fei & Liu, Xiaodong, 2010. "Efficient Gmm Estimation Of High Order Spatial Autoregressive Models With Autoregressive Disturbances," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(01), pages 187-230, February.
- Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 17(1), pages 99-121, July.
- J. Elhorst, 2010. "Applied Spatial Econometrics: Raising the Bar," Spatial Economic Analysis, Taylor & Francis Journals, Taylor & Francis Journals, vol. 5(1), pages 9-28.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gunther Maier).
If references are entirely missing, you can add them using this form.