Banded spatio-temporal autoregressions

DOI10.1016/j.jeconom.2018.09.012zbMath1452.62637arXiv1803.01699OpenAlexW2964115906MaRDI QIDQ1739642

Hansheng Wang, Qiwei Yao, Yingying Ma, Zhaoxing Gao

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.01699

zbMATH Keywords

least squares estimationYule-Walker equationbanded coefficient matricesspatial panel dynamic models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Estimation of latent factors for high-dimensional time series

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