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On spatial processes and asymptotic inference under near-epoch dependence

Nazgul Jenish and Ingmar Prucha

Journal of Econometrics, 2012, vol. 170, issue 1, 178-190

Abstract: The development of a general inferential theory for nonlinear models with cross-sectionally or spatially dependent data has been hampered by a lack of appropriate limit theorems. To facilitate a general asymptotic inference theory relevant to economic applications, this paper first extends the notion of near-epoch dependent (NED) processes used in the time series literature to random fields. The class of processes that is NED on, say, an α-mixing process, is shown to be closed under infinite transformations, and thus accommodates models with spatial dynamics. This would generally not be the case for the smaller class of α-mixing processes. The paper then derives a central limit theorem and law of large numbers for NED random fields. These limit theorems allow for fairly general forms of heterogeneity including asymptotically unbounded moments, and accommodate arrays of random fields on unevenly spaced lattices. The limit theorems are employed to establish consistency and asymptotic normality of GMM estimators. These results provide a basis for inference in a wide range of models with spatial dependence.

Keywords: Random fields; Near-epoch dependent processes; Central limit theorem; Law of large numbers; GMM estimator (search for similar items in EconPapers)
JEL-codes: C10 C21 C31 (search for similar items in EconPapers)
Date: 2012
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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