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

Author

Listed:
  • Román Mínguez

    () (University of Castilla-La Mancha)

  • María L.

    () (Carlos III University)

  • Roberto Basile

    () (Second University of Naples)

Abstract

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.

Suggested Citation

  • Román Mínguez & María L. & Roberto Basile, 2016. "Spatio-Temporal Autoregressive Semiparametric Model for the analysis of regional economic data," Working Papers LuissLab 16126, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  • Handle: RePEc:lui:lleewp:16126
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    File URL: http://www.luiss.it/RePEc/pdf/lleewp/16126.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    : spatio-temporal trend; mixed models; P-splines; PS-ANOVA; SAR; spatial panel.;

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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