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

DOI10.1016/J.JECONOM.2016.05.014zbMATH Open1443.62252arXiv1505.01177OpenAlexW2779734446MaRDI QIDQ308397FDOQ308397

Maria Lucia Parrella, Baojun Dou, Qiwei Yao

Publication date: 6 September 2016

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

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.

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)

Cites Work

• Testing panel data regression models with spatial error correlation.
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• Nonlinear time series. Nonparametric and parametric methods
• Some mixing properties of time series models
• Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration

Cited In (19)

• Reconstructing missing data sequences in multivariate time series: an application to environmental data
• Inward and Outward Network Influence Analysis
• Banded spatio-temporal autoregressions
• Portal nodes screening for large scale social networks
• 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
• Consistent two-stage estimation in heterogeneous network autoregressive model
• Mutual influence regression model
• Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets
• Testing spatial dynamic panel data models with heterogeneous spatial and regression coefficients
• Network Influence Analysis
• Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients
• Community network auto-regression for high-dimensional time series
• The spatial-temporal lag model of matrix-valued time series and its application
• Multivariate spatiotemporal models with low rank coefficient matrix
• A flexible spatial autoregressive modelling framework for mixed covariates of multiple data types
• Sparse spatio-temporal autoregressions by profiling and bagging
• Spatial dynamic panel models with missing data
• Autoregressive Model With Spatial Dependence and Missing Data

This page was built for publication: Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q308397)