Seemingly Unrelated Regressions with Spatial Effects. An Application to the Case of the European Regional Employment
The seemingly unrelated regressions (SUR) equations are a traditional multivariate econometric formulation employed in very different fields including, obviously, spatial analysis. The basis of the approach is very well known due to the initial works of Zellner (1962), Theil (1971), Malinvaud (1970), Schmidt (1976) and Dwivedi and Srivastava (1978). In this paper, we address the case of a SUR model that involves spatial effects, under the configuration of a given number of equations, G, a finite number of crosssections, T, and a large number of spatial units, R. The problem that we pose is testing for the presence of spatial effects, as in Mur and LÃ³pez (2008), and to select the most adequate spatial model for the data, as in Mur et al (2010). Following these papers, we also assume a maximum-likelihood framework that facilitates the obtaining of simple Lagrange Multipliers, with good behaviour in small-sized samples. Then, we focus on the assumption of constancy (among equations, between cross-sections) of the parameters of spatial dependence. In a standard framework, these coefficients are allowed to vary between equations but not in time. In general terms, this is an unnecessary assumption to start with the econometric modelling. For this reason, we extend the discussion to the problem of the instability of the coefficients of crosssectional dependence, both in a spatial dimension and among equations. We present the results of a small Monte Carlo experiment to study the behaviour of the Lagrange Multipliers developed in order to analyze the assumption of parameter stability. Finally, an application of these techniques to the case of the European regional employment, at NUTS II level and disaggregated by sectors of activity, in the period 1980 to 2008, is also included. We specify a SUR model where each equation corresponds to a sector of activity. Provisional results indicate that there exist strong symptoms of instability in the spatial structure of the equations, although this structure appears to be stable in time.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Julie Le Gallo & Sandy Dall'erba, 2006.
"Evaluating the Temporal and Spatial Heterogeneity of the European Convergence Process, 1980-1999,"
Journal of Regional Science,
Wiley Blackwell, vol. 46(2), pages 269-288.
- Julie Le Gallo & Sandy Dall'Erba, 2006. "Evaluating the temporal and spatial heterogeneity of the European convergence process: 1980-1999," Post-Print hal-00401245, HAL.
- Julie Le Gallo & Sandy Dall'Erba, 2006. "Evaluating the temporal and spatial heterogeneity of the European convergence process : 1980-1999," Post-Print hal-00485016, HAL.
- Julie Gallo & Coro Chasco, 2008. "Spatial analysis of urban growth in Spain, 1900–2001," Empirical Economics, Springer, vol. 34(1), pages 59-80, February.
- Julie Le Gallo & Coro Chasco-Yrigoyen, 2006. "Spatial Analysis of Urban Growth in Spain (1900-2001)," ERSA conference papers ersa06p878, European Regional Science Association.
- Julie Le Gallo & Coro Chasco, 2008. "Spatial analysis of urban growth in Spain, 1900-2001," Post-Print hal-00485030, HAL.
- Brülhart, Marius & Mathys, Nicole A., 2008. "Sectoral agglomeration economies in a panel of European regions," Regional Science and Urban Economics, Elsevier, vol. 38(4), pages 348-362, July.
- Marius BRÜLHART & Nicole A. MATHYS, 2007. "Sectoral Agglomeration Economies in a Panel of European Regions," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 07.04, Université de Lausanne, Faculté des HEC, DEEP.
- Brülhart, Marius & Mathys, Nicole Andréa, 2007. "Sectoral Agglomeration Economies in a Panel of European Regions," CEPR Discussion Papers 6410, C.E.P.R. Discussion Papers.
- Francesco Moscone & Elisa Tosetti & Martin Knapp, 2007. "Sur model with spatial effects: an application to mental health expenditure," Health Economics, John Wiley & Sons, Ltd., vol. 16(12), pages 1403-1408.
- Peter Egger & Michael Pfaffermayr, 2004. "Distance, trade and FDI: a Hausman-Taylor SUR approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(2), pages 227-246.
- Peter Egger & Michael Pfaffermayr, 2001. "Distance, Trade and FDI: A Hausman-Taylor SUR Approach," WIFO Working Papers 164, WIFO.
- Jorgen Lauridsen & Mickael Bech & Fernando López & Mariluz Sánchez, 2010. "A spatiotemporal analysis of public pharmaceutical expenditure," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 44(2), pages 299-314, April.
- Deaton, Angus S & Muellbauer, John, 1980. "An Almost Ideal Demand System," American Economic Review, American Economic Association, vol. 70(3), pages 312-326, June.
- Sergio Rey & Brett Montouri, 1999. "US Regional Income Convergence: A Spatial Econometric Perspective," Regional Studies, Taylor & Francis Journals, vol. 33(2), pages 143-156. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:wiw:wiwrsa:ersa10p487. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Gunther Maier)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.