Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks

DOI10.1080/10618600.2022.2107530arXiv1810.06940OpenAlexW2896453039WikidataQ114638947 ScholiaQ114638947MaRDI QIDQ6094098FDOQ6094098

Authors:

Publication date: 9 October 2023

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Abstract: In this paper, we propose a two-step lasso estimation approach to estimate the full spatial weights matrix of spatiotemporal autoregressive models. In addition, we allow for an unknown number of structural breaks in the local means of each spatial locations. The proposed approach jointly estimates the spatial dependence, all structural breaks, and the local mean levels. In addition, it is easy to compute the suggested estimators, because of a convex objective function resulting from a slight simplification. Via simulation studies, we show the finite-sample performance of the estimators and provide a practical guidance, when the approach could be applied. Eventually, the invented method is illustrated by an empirical example of regional monthly real-estate prices in Berlin from 1995 to 2014. The spatial units are defined by the respective ZIP codes. In particular, we can estimate local mean levels and quantify the deviation of the observed prices from these levels due to spatial spill over effects.

Full work available at URL: https://arxiv.org/abs/1810.06940

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zbMATH Keywords

structural breaksstatistical learningLasso estimationspatial weight matrixreal-estate marketspatiotemporal autoregressive models

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (1)

• A general framework for spatial GARCH models

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