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Serial and spatial error correlation

Author

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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.

Suggested Citation

  • Elhorst, J. Paul, 2008. "Serial and spatial error correlation," Economics Letters, Elsevier, vol. 100(3), pages 422-424, September.
    • Handle: RePEc:eee:ecolet:v:100:y:2008:i:3:p:422-424
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    References listed on IDEAS

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    1. 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, vol. 40(2), pages 509-533, May.
    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. Kapoor, Mudit & Kelejian, Harry H. & Prucha, Ingmar R., 2007. "Panel data models with spatially correlated error components," Journal of Econometrics, Elsevier, vol. 140(1), pages 97-130, September.
    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, vol. 140(1), pages 5-51, September.
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