Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients

DOI10.1016/J.JECONOM.2016.05.014MaRDI QIDQ308397zbMATHOpenAlexFDO

Authors Baojun Dou, Maria Lucia Parrella, Qiwei Yao

Publication date 6 September 2016

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

Full work available at URL https://arxiv.org/abs/1505.01177

zbMATH Keywords

stationarityspatial autoregression\(\alpha\)-mixinghigh dimensionalityleast squares estimationdynamic panels

Mathematics Subject Classification ID

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

Abstract: We consider a class of spatio-temporal models which extend popular econometric spatial autoregressive panel data models by allowing the scalar coefficients for each location (or panel) different from each other. To overcome the innate endogeneity, we propose a generalized Yule-Walker estimation method which applies the least squares estimation to a Yule-Walker equation. The asymptotic theory is developed under the setting that both the sample size and the number of locations (or panels) tend to infinity under a general setting for stationary and alpha-mixing processes, which includes spatial autoregressive panel data models driven by i.i.d. innovations as special cases. The proposed methods are illustrated using both simulated and real data.

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Cites work

• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
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• Nonlinear time series. Nonparametric and parametric methods
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Cited in

(19)

• Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
• Community network auto-regression for high-dimensional time series
• Bipartite network influence analysis of a two-mode network
• Sparse generalized Yule-Walker estimation for large spatio-temporal autoregressions with an application to NO\(_2\) satellite data
• The spatial-temporal lag model of matrix-valued time series and its application
• Spatial dynamic panel models with missing data
• Consistent two-stage estimation in heterogeneous network autoregressive model
• Testing spatial dynamic panel data models with heterogeneous spatial and regression coefficients
• Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets
• Inward and Outward Network Influence Analysis
• Sparse spatio-temporal autoregressions by profiling and bagging
• Reconstructing missing data sequences in multivariate time series: an application to environmental data
• Network Influence Analysis
• A flexible spatial autoregressive modelling framework for mixed covariates of multiple data types
• Mutual influence regression model
• Banded spatio-temporal autoregressions
• Portal nodes screening for large scale social networks
• Autoregressive Model With Spatial Dependence and Missing Data
• Multivariate spatiotemporal models with low rank coefficient matrix

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