Large-sample inference on spatial dependence

Peter Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We consider cross-sectional data that exhibit no spatial correla- tion, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of nancial econometrics, entailing a form of spatial autoregression, can explain such behaviour. The parameters are estimated by pseudo Gaussian maximum likelihood based on log-transformed squares, and consistency and asymptotic normality are established. Asymptot- ically valid tests for spatial independence are developed.

JEL-codes: C3 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2008-01
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