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Spatio-Temporal Autoregressive Semiparametric Model for the analysis of regional economic data

Listed author(s):
  • Román Mínguez

    ()

    (University of Castilla-La Mancha)

  • María L.

    ()

    (Carlos III University)

  • Roberto Basile

    ()

    (Second University of Naples)

Registered author(s):

    In this paper we propose an extension of the semiparametric P-Spline model to spatio-temporal data including a non-parametric trend, as well as a spatial lag of the dependent variable. This model is able to simultaneously control for func- tional form bias, spatial dependence bias, spatial heterogeneity bias, and omitted time-related factors bias. Specically, we consider a spatio-temporal ANOVA model disaggregating the trend in spatial and temporal main eects, and second and third order interactions between them. The model can include both linear and non-linear effects of the covariates, and other additional xed or random eects. Recent algorithms based on spatial anisotropic penalties (SAP) are used to estimate all the parameters in a closed form without the need of multidimensional optimization. An empirical case compares the performance of this model against alternatives models like spatial panel data models.

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    File URL: http://www.luiss.it/RePEc/pdf/lleewp/16126.pdf
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    Paper provided by Dipartimento di Economia e Finanza, LUISS Guido Carli in its series Working Papers LuissLab with number 16126.

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    Date of creation: 2016
    Handle: RePEc:lui:lleewp:16126
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    Web page: http://ricerca.economiaefinanza.luiss.it/
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    1. Aragon, Y. & Haughton, D. & Haughton, J. & Leconte, E. & Malin, E. & Ruiz-Gazen, A. & Thomas-Agnan. C., 1999. "Explaining the Pattern of Regional Unemployment: the Case of the Midi-Pyrenees Region," Papers 99.519, Toulouse - GREMAQ.
    2. Decressin, Jorg & Fatas, Antonio, 1995. "Regional labor market dynamics in Europe," European Economic Review, Elsevier, vol. 39(9), pages 1627-1655, December.
    3. Henry G. Overman & Diego Puga, 2002. "Unemployment clusters across Europe's regions and countries," Economic Policy, CEPR;CES;MSH, vol. 17(34), pages 115-148, 04.
    4. Pesaran, M. Hashem & Tosetti, Elisa, 2011. "Large panels with common factors and spatial correlation," Journal of Econometrics, Elsevier, vol. 161(2), pages 182-202, April.
    5. Pesaran, M.H., 2004. "‘General Diagnostic Tests for Cross Section Dependence in Panels’," Cambridge Working Papers in Economics 0435, Faculty of Economics, University of Cambridge.
    6. Alexander Chudik & M. Hashem Pesaran & Elisa Tosetti, 2011. "Weak and strong cross‐section dependence and estimation of large panels," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 45-90, February.
    7. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2016. "A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 249-280, January.
    8. Maria Francesca Cracolici & Miranda Cuffaro & Peter Nijkamp, 2007. "Geographical Distribution of Unemployment: An Analysis of Provincial Differences in Italy," Growth and Change, Wiley Blackwell, vol. 38(4), pages 649-670.
    9. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
    10. Lee, Dae-Jin & Durbán, María & Eilers, Paul, 2013. "Efficient two-dimensional smoothing with P-spline ANOVA mixed models and nested bases," Computational Statistics & Data Analysis, Elsevier, vol. 61(C), pages 22-37.
    11. Stephen T. Marston, 1985. "Two Views of the Geographic Distribution of Unemployment," The Quarterly Journal of Economics, Oxford University Press, vol. 100(1), pages 57-79.
    12. Taylor, Jim & Bradley, Steve, 1997. "Unemployment in Europe: A Comparative Analysis of Regional Disparities in Germany, Italy and the UK," Kyklos, Wiley Blackwell, vol. 50(2), pages 221-245.
    13. Thomas Kneib & Ludwig Fahrmeir, 2006. "Structured Additive Regression for Categorical Space–Time Data: A Mixed Model Approach," Biometrics, The International Biometric Society, vol. 62(1), pages 109-118, March.
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    15. Mark Partridge & Dan Rickman, 1997. "The Dispersion of US State Unemployment Rates: The Role of Market and Non-market Equilibrium Factors," Regional Studies, Taylor & Francis Journals, vol. 31(6), pages 593-606.
    16. Su, Liangjun & Jin, Sainan, 2012. "Sieve estimation of panel data models with cross section dependence," Journal of Econometrics, Elsevier, vol. 169(1), pages 34-47.
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    18. Eleonora Patacchini & Yves Zenou, 2007. "Spatial dependence in local unemployment rates," Journal of Economic Geography, Oxford University Press, vol. 7(2), pages 169-191, March.
    19. Lottmann, Franziska, 2012. "Spatial dependencies in German matching functions," Regional Science and Urban Economics, Elsevier, vol. 42(1-2), pages 27-41.
    20. repec:hal:journl:peer-00796743 is not listed on IDEAS
    21. A. P. Thirlwall, 1966. "Regional Unemployment As A Cyclical Phenomenon1," Scottish Journal of Political Economy, Scottish Economic Society, vol. 13(2), pages 205-219, June.
    22. Basile, Roberto & Durbán, María & Mínguez, Román & María Montero, Jose & Mur, Jesús, 2014. "Modeling regional economic dynamics: Spatial dependence, spatial heterogeneity and nonlinearities," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 229-245.
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