Generalized Yule-Walker estimation for spatio-temporal models with unknown diagonal coefficients
From MaRDI portal
(Redirected from Publication:308397)
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.
Recommendations
- Banded spatio-temporal autoregressions
- Estimation and inference in functional-coefficient spatial autoregressive panel data models with fixed effects
- scientific article; zbMATH DE number 1165669
- Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
- Parameter estimation of spatial AR model
Cites work
- Estimation for spatial dynamic panel data with fixed effects: the case of spatial cointegration
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- Nonlinear time series. Nonparametric and parametric methods
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
- Some mixing properties of time series models
- Testing panel data regression models with spatial error correlation.
Cited in
(19)- Autoregressive Model With Spatial Dependence and Missing Data
- 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
- Bootstrap joint prediction regions for sequences of missing values in spatio-temporal datasets
- Mutual influence regression model
- 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
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)
