Some correlation properties of spatial autoregressions
This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix W and the autocorrelation parameter . We provide an interpretation of the covariances between the random variables observed at two spatial units, based on a particular type of walks connecting the two units. The interpretation serves to explain a number of correlation properties of SAR(1) models, and clarifies why it is impossible to control the correlations through the specification of W.
|Date of creation:||Oct 2008|
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- Kelejian, Harry H. & Prucha, Ingmar R., 2010.
"Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances,"
Journal of Econometrics,
Elsevier, vol. 157(1), pages 53-67, July.
- Harry H. Kelejian & Ingmar R. Prucha, 2008. "Specification and Estimation of Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CESifo Working Paper Series 2448, CESifo Group Munich.
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