Evidence of spurious results along with spatially autocorrelated errors in the context of geographically weighted regression for two independent SAR(1) processes

Christos Agiakloglou, Cleon Tsimbos () and Apostolos Tsimpanos ()
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Cleon Tsimbos: University of Piraeus
Apostolos Tsimpanos: University of the Aegean

Empirical Economics, 2019, vol. 57, issue 5, No 5, 1613-1631

Abstract: Abstract The aim of this paper is to examine the performance of the geographically weighted regression (GWR) technique in terms of recognizing linear relationships at the local level. Using a Monte Carlo analysis with two independent spatially autocorrelated SAR(1) processes, this study finds that spurious behavior exists at the local level along with spatially autocorrelated errors. Therefore, GWR estimation results must be interpreted with caution.

Keywords: Geographically weighted regression; Spurious regression; Stationary spatial autoregressive SAR(1) processes; Spatially autocorrelated errors (search for similar items in EconPapers)
JEL-codes: C20 C21 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s00181-018-1510-z

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