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Efficiency of the OLS estimator in the vicinity of a spatial unit root

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  • Martellosio, Federico

Abstract

Previous results have indicated that the OLS estimator of the vector of regression coefficients can be nearly as efficient as the best linear unbiased estimator when the regression errors follow a spatial process with root in the vicinity of unity. Such results were derived under the assumption of a symmetric weights matrix, which simplifies the analysis considerably, but is very often not satisfied in applications. This paper provides nontrivial generalizations to the important case of nonsymmetric weights matrices.

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  • Martellosio, Federico, 2011. "Efficiency of the OLS estimator in the vicinity of a spatial unit root," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1285-1291, August.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:1285-1291
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    References listed on IDEAS

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    1. Lung-Fei Lee & Jihai Yu, 2009. "Spatial Nonstationarity and Spurious Regression: the Case with a Row-normalized Spatial Weights Matrix," Spatial Economic Analysis, Taylor & Francis Journals, vol. 4(3), pages 301-327.
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    7. Harry H. Kelejian & Ingmar R. Prucha & Yevgeny Yuzefovich, 2006. "Estimation Problems In Models With Spatial Weighting Matrices Which Have Blocks Of Equal Elements," Journal of Regional Science, Wiley Blackwell, vol. 46(3), pages 507-515, August.
    8. Martellosio, Federico, 2010. "Power Properties Of Invariant Tests For Spatial Autocorrelation In Linear Regression," Econometric Theory, Cambridge University Press, vol. 26(1), pages 152-186, February.
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    Cited by:

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    3. Grant Hillier & Federico Martellosio, 2013. "Properties of the maximum likelihood estimator in spatial autoregressive models," CeMMAP working papers 44/13, Institute for Fiscal Studies.
    4. Grant Hillier & Federico Martellosio, 2013. "Properties of the maximum likelihood estimator in spatial autoregressive models," CeMMAP working papers CWP44/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    5. Badi H. Baltagi & Chihwa Kao & Long Liu, 2013. "The Estimation and Testing of a Linear Regression with Near Unit Root in the Spatial Autoregressive Error Term," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(3), pages 241-270, September.

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