EconPapers    
Economics at your fingertips  
 

Autoregressive Spatial Spectral Estimates

Abhimanyu Gupta

Economics Discussion Papers from University of Essex, Department of Economics

Abstract: Autoregressive spectral density estimation for stationary random fields on a regular spatial lattice has many advantages relative to kernel based methods. It provides a guaranteed positive-definite estimate even when suitable edge-effect correction is employed, is simple to compute using least squares and necessitates no choice of kernel. We truncate a true half-plane infinite autoregressive representation to estimate the spectral density. The truncation length is allowed to diverge in all dimensions in order to avoid the potential bias which would accrue due to truncation at a fixed lag-length. Consistency and strong consistency of the proposed estimator, both uniform in frequencies, are established. Under suitable conditions the asymptotic distribution of the estimate is shown to be zero-mean normal and independent at fixed distinct frequencies, mirroring the behaviour for time series. A small Monte Carlo experiment examines finite sample performance. We illustrate the technique by applying it to Los Angeles house price data and a novel analysis of voter turnout data in a US presidential election. Technically the key to the results is the covariance structure of stationary random fields defined on regularly spaced lattices. We study this in detail and show the covariance matrix to satisfy a generalization of the Toeplitz property familiar from time series analysis.

Date: 2015-06-11
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://repository.essex.ac.uk/23825/ original version (application/pdf)

Related works:
Journal Article: Autoregressive spatial spectral estimates (2018) Downloads
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:esx:essedp:23825

Ordering information: This working paper can be ordered from
Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
http://www.essex.ac. ... /papers-request.aspx

Access Statistics for this paper

More papers in Economics Discussion Papers from University of Essex, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Essex Economics Web Manager ().

 
Page updated 2023-01-18
Handle: RePEc:esx:essedp:23825