Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients
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Cited by:
- Michele Aquaro & Natalia Bailey & M. Hashem Pesaran, 2021.
"Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 18-44, January.
- Michele Aquaro & Natalia Bailey & M. Hashem Pesaran, 2019. "Estimation and inference for spatial models with heterogeneous coefficients: an application to U.S. house prices," CESifo Working Paper Series 7542, CESifo.
- Reuvers, Hanno & Wijler, Etienne, 2024. "Sparse generalized Yule–Walker estimation for large spatio-temporal autoregressions with an application to NO2 satellite data," Journal of Econometrics, Elsevier, vol. 239(1).
- Maria Lucia Parrella & Giuseppina Albano & Michele La Rocca & Cira Perna, 2019. "Reconstructing missing data sequences in multivariate time series: an application to environmental data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(2), pages 359-383, June.
- Gao, Zhaoxing & Ma, Yingying & Wang, Hansheng & Yao, Qiwei, 2019. "Banded spatio-temporal autoregressions," Journal of Econometrics, Elsevier, vol. 208(1), pages 211-230.
- Li, Xiaoyue & Yang, Yinfei & Li, Liang & Zhao, Guolong & He, Ning, 2020. "Uncertainty quantification in machining deformation based on Bayesian network," Reliability Engineering and System Safety, Elsevier, vol. 203(C).
- Xuan Liang & Jiti Gao & Xiaodong Gong, 2022.
"Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(4), pages 1784-1802, October.
- Xuan, Liang & Jiti, Gao & xiaodong, Gong, 2021. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," MPRA Paper 108497, University Library of Munich, Germany, revised 30 May 2021.
- Xuan Liang & Jiti Gao & Xiaodong Gong, 2021. "Semiparametric Spatial Autoregressive Panel Data Model with Fixed Effects and Time-Varying Coefficients," Monash Econometrics and Business Statistics Working Papers 5/21, Monash University, Department of Econometrics and Business Statistics.
- Wu, Yujia & Lan, Wei & Fan, Xinyan & Fang, Kuangnan, 2024. "Bipartite network influence analysis of a two-mode network," Journal of Econometrics, Elsevier, vol. 239(2).
- Zhu, Xuening & Chang, Xiangyu & Li, Runze & Wang, Hansheng, 2019. "Portal nodes screening for large scale social networks," Journal of Econometrics, Elsevier, vol. 209(2), pages 145-157.
- Hanno Reuvers & Etienne Wijler, 2021. "Sparse Generalized Yule-Walker Estimation for Large Spatio-temporal Autoregressions with an Application to NO2 Satellite Data," Papers 2108.02864, arXiv.org, revised Dec 2021.
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More about this item
Keywords
α-mixing; dynamic panels; high dimensionality; least squares estimation; spatial autoregression; stationarity;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-12-03 (Econometrics)
- NEP-ETS-2017-12-03 (Econometric Time Series)
- NEP-URE-2017-12-03 (Urban and Real Estate Economics)
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