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Spatial autoregressive fractionally integrated moving average model

Philipp Otto and Philipp Sibbertsen

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to spatial autoregressive moving average models (SARMA). This new model is called the spatial autoregressive fractionally integrated moving average model, briefly sp-ARFIMA. We show the relation to time-series ARFIMA models and also to (higher-order) spatial autoregressive models. Moreover, an estimation procedure based on the maximum-likelihood principle is introduced and analysed in a series of simulation studies. Eventually, the use of the model is illustrated by an empirical example of atmospheric fine particles, so-called aerosol optical thickness, which is important in weather, climate and environmental science.

Keywords: Spatial ARFIMA; spatial fractional integration; long-range dependence; aerosol optical depth (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2023-09
New Economics Papers: this item is included in nep-ecm and nep-ure
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