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Cross-sectional Space-time Modeling Using ARNN(p, n) Processes

Listed author(s):
  • Kakamu, Kazuhiko

    (Graduate School of Economics, Osaka University, Osaka, Japan)

  • Polasek, Wolfgang

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria)

We suggest a new class of cross-sectional space-time models based on local AR models and nearest neighbors using distances between observations. For the estimation we use a tightness prior for prediction of regional GDP forecasts. We extend the model to the model with exogenous variable model and hierarchical prior models. The approaches are demonstrated for a dynamic panel model for regional data in Central Europe. Finally, we find that an ARNN(1, 3) model with travel time data is best selected by marginal likelihood and there the spatial correlation is usually stronger than the time correlation.

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File URL: http://www.ihs.ac.at/publications/eco/es-203.pdf
File Function: First version, 2007
Download Restriction: no

Paper provided by Institute for Advanced Studies in its series Economics Series with number 203.

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Length: 25 pages
Date of creation: Feb 2007
Handle: RePEc:ihs:ihsesp:203
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