Sparse spatial autoregressions
Given local spatial error dependence, one can construct sparse spatial weight matrices. As an illustration of the power of such sparse structures, we computed a simultaneous autoregression using 20 640 observations in under 19 min despite needing to compute a 20 640 by 20 640 determinant 10 times.
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Volume (Year): 33 (1997)
Issue (Month): 3 (May)
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- Gilley, Otis W & Pace, R Kelley, 1995. "Improving Hedonic Estimation with an Inequality Restricted Estimator," The Review of Economics and Statistics, MIT Press, vol. 77(4), pages 609-621, November.