Projects per year
Abstract
In spatial econometric models dependence between observations may extend in all directions. The bilateral structure of the process complicates the analysis of asymptotic properties of estimators, making it necessary to resort to highlevel assumptions guaranteeing that certain convergences hold. Estimators may then in general be shown to be consistent and asymptotically normal. Under some relatively mild conditions the existence of a unilateral autoregressive approximation to a spatial series may be established. By restricting attention to the class of unilateral spatial autoregressive processes, the asymptotic analysis simplifies. The stationarity condition for unilateral spatial autoregressive processes is well known. The paper studies inference in spatial econometric models when data are assumed to be generated by a twodimensional unilateral stationary spatial autoregressive process of finite order. The estimator of the autoregressive parameter is shown to be consistent and asymptotically normal. Some simulation results to examine the finite sample properties of the estimator show that it is nearly unbiased, except at the boundary of the parameter space. In the nonstationary case the estimator is inconsistent and diverges. In the estimation of spatial econometric models, the parameter space is usually restricted to the stationary region. An estimate of the spatial autoregressive parameter close to one in absolute value is then an indication of nonstationarity. In many cases the weights matrix is unknown. We find that underspecifying the weights matrix results in an underestimated spatial autoregressive parameter and overspecifying the weights matrix results in an overestimated spatial autoregressive parameter. Depending on the choice of the weights matrix, a very different picture of the magnitude of spatial autocorrelation in the data may be obtained. An empirical application to house prices in the county of Stockholm, Sweden, is included as an illustration of the findings.
Original language  English 

Title of host publication  Bulletin of the International Statistical Institute 56th Session 
Editors  Gomes M. Ivette, Pestana Dinis, Silva Pedro 
Number of pages  4 
Place of Publication  Lisboa 
Publication date  2007 
Pages  14 
ISBN (Print)  9789728859718 
Publication status  Published  2007 
MoE publication type  A4 Article in conference proceedings 
Event  Unknown host publication  , Portugal Duration: 01.01.1800 → … 
Publication series
Name  Bulletin of the International Statistical Institute 

Number  56 
Keywords
 512 Business and Management
 spatial econometrics
 spatial autoregressive model
 spatial autoregressive parameter
 unilateral spatial autoregressive process
 weights matrix
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Projects
 1 Finished

SPATIAL ECONOMETRICS AND HOUSE PRICE MODELS
Gerkman, L., Ahlgren, N. & Rosenqvist, G.
07.01.2005 → 31.12.2010
Project: Externally funded project