Efficiency of the OLS estimator in the vicinity of a spatial unit root

Federico Martellosio ()

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1285-1291

Abstract: Previous results have indicated that the OLS estimator of the vector of regression coefficients can be nearly as efficient as the best linear unbiased estimator when the regression errors follow a spatial process with root in the vicinity of unity. Such results were derived under the assumption of a symmetric weights matrix, which simplifies the analysis considerably, but is very often not satisfied in applications. This paper provides nontrivial generalizations to the important case of nonsymmetric weights matrices.

Keywords: Efficiency; of; OLS; Linear; regression; Spatial; autocorrelation; Spatial; unit; root (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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