Spatial Vector Error Correction

Michael Beenstock and Daniel Felsenstein
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Michael Beenstock: Hebrew University of Jerusalem
Daniel Felsenstein: Hebrew University of Jerusalem

Chapter Chapter 9 in The Econometric Analysis of Non-Stationary Spatial Panel Data, 2019, pp 233-250 from Springer

Abstract: Abstract We begin with a theoretical discussion on the spatiotemporal dynamics induced by spatial VECMs (SpVECM). Subsequently, a hierarchy of empirical error correction models for house prices and housing construction in Israel is reported based on the empirical results for spatial panel cointegration reported in Chap. 8. Empirical illustrations for single equation error correction are presented and discussed. This is followed by empirical illustration of error correction involving two equations (house prices and housing construction) in which error correction occurs within and between equations, as in a SpVECM.

Date: 2019
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DOI: 10.1007/978-3-030-03614-0_9

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