Resource title

Large-sample inference on spatial dependence

Resource image

image for OpenScout resource :: Large-sample inference on spatial dependence

Resource description

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.

Resource author

Resource publisher

Resource publish date

Resource language

en

Resource content type

application/pdf

Resource resource URL

http://eprints.lse.ac.uk/25472/1/Large-Sample_Inference_on_Spatial_Dependence.pdf

Resource license