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Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Author

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  • Papa Ousmane Cissé

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - Université Gaston Bergé Sénégal)

  • Abdou Kâ Diongue

    () (LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - Université Gaston Bergé Sénégal)

  • Dominique Guegan

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we introduce a new model called Fractionally Integrated Separable Spatial Autoregressive processes with Seasonality and denoted Seasonal FISSAR for two-dimensional spatial data. We focus on the class of separable spatial models whose correlation structure can be expressed as a product of correlations. This new modelling allows taking into account the seasonality patterns observed in spatial data. We investigate the properties of this new model providing stationary conditions, some explicit expressions form of the autocovariance function and the spectral density function. We establish the asymptotic behaviour of the spectral density function near the seasonal frequencies and perform some simulations to illustrate the behaviour of the model.

Suggested Citation

  • Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016. "Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01278126, HAL.
  • Handle: RePEc:hal:cesptp:halshs-01278126
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01278126
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    References listed on IDEAS

    as
    1. Thomas De Graaff & Raymond J.C.M. Florax & Peter Nijkamp & Aura Reggiani, 2001. "A General Misspecification Test for Spatial Regression Models: Dependence, Heterogeneity, and Nonlinearity," Journal of Regional Science, Wiley Blackwell, vol. 41(2), pages 255-276, May.
    2. Martin Benirschka & James K. Binkley, 1994. "Land Price Volatility in a Geographically Dispersed Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(2), pages 185-195.
    3. Jurate saltyte Benth & Fred Espen Benth & Paulius Jalinskas, 2007. "A Spatial-temporal Model for Temperature with Seasonal Variance," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(7), pages 823-841.
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    Cited by:

    1. Papa Cissé & Dominique Guegan & Abdou Kâ Diongue, 2018. "On the parameters estimation of the Seasonal FISSAR Model," Post-Print halshs-01832115, HAL.

    More about this item

    Keywords

    spatial autocovariance; spatial stationary process; seasonality; spatial short memory; seasonal long memory; two-dimensional data; separable process;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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