Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables

Bing Su, Fukang Zhu and Ke Zhu

Papers from arXiv.org

Abstract: The spatial dependence in mean has been well studied by plenty of models in a large strand of literature, however, the investigation of spatial dependence in variance is lagging significantly behind. The existing models for the spatial dependence in variance are scarce, with neither probabilistic structure nor statistical inference procedure being explored. To circumvent this deficiency, this paper proposes a new generalized logarithmic spatial heteroscedasticity model with exogenous variables (denoted by the log-SHE model) to study the spatial dependence in variance. For the log-SHE model, its spatial near-epoch dependence (NED) property is investigated, and a systematic statistical inference procedure is provided, including the maximum likelihood and generalized method of moments estimators, the Wald, Lagrange multiplier and likelihood-ratio-type D tests for model parameter constraints, and the overidentification test for the model diagnostic checking. Using the tool of spatial NED, the asymptotics of all proposed estimators and tests are established under regular conditions. The usefulness of the proposed methodology is illustrated by simulation results and a real data example on the house selling price.

Date: 2023-01
New Economics Papers: this item is included in nep-dcm, nep-ecm and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2301.06658 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2301.06658

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().