IDEAS home Printed from https://ideas.repec.org/p/hal/cesptp/halshs-01278126.html
   My bibliography  Save this paper

Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Author

Listed:
  • Papa Ousmane Cissé

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - UGB - Université Gaston Berger de Saint-Louis Sénégal)

  • Abdou Kâ Diongue

    (LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - UGB - Université Gaston Berger de Saint-Louis Sénégal)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In this paper, we introduce a new model called Fractionally Integrated Separable Spatial Autoregressive processes with Seasonality and denoted Seasonal FISSAR for two-dimensional spatial data. We focus on the class of separable spatial models whose correlation structure can be expressed as a product of correlations. This new modelling allows taking into account the seasonality patterns observed in spatial data. We investigate the properties of this new model providing stationary conditions, some explicit expressions form of the autocovariance function and the spectral density function. We establish the asymptotic behaviour of the spectral density function near the seasonal frequencies and perform some simulations to illustrate the behaviour of the model.

Suggested Citation

  • Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016. "Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01278126, HAL.
    • Handle: RePEc:hal:cesptp:halshs-01278126
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01278126
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-01278126/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Roger J. Marshall, 1991. "A Review of Methods for the Statistical Analysis of Spatial Patterns of Disease," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 154(3), pages 421-441, May.
    2. Thomas De Graaff & Raymond J.C.M. Florax & Peter Nijkamp & Aura Reggiani, 2001. "A General Misspecification Test for Spatial Regression Models: Dependence, Heterogeneity, and Nonlinearity," Journal of Regional Science, Wiley Blackwell, vol. 41(2), pages 255-276, May.
    3. Jurate saltyte Benth & Fred Espen Benth & Paulius Jalinskas, 2007. "A Spatial-temporal Model for Temperature with Seasonal Variance," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(7), pages 823-841.
    4. Lambert, Dayton M. & Lowenberg-DeBoer, James & Bongiovanni, Rodolfo, 2003. "Spatial Regression Models For Yield Monitor Data: A Case Study From Argentina," 2003 Annual meeting, July 27-30, Montreal, Canada 22022, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    5. Martin Benirschka & James K. Binkley, 1994. "Land Price Volatility in a Geographically Dispersed Market," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 76(2), pages 185-195.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Papa Ousmane Cissé & Dominique Guegan & Abdou Kâ Diongue, 2018. "On the parameters estimation of the Seasonal FISSAR Model," Post-Print halshs-01832115, HAL.
    2. Robinson, Peter, 2019. "Spatial long memory," LSE Research Online Documents on Economics 102182, London School of Economics and Political Science, LSE Library.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Papa Ousmane Cissé & Dominique Guégan & Abdou Kâ Diongue, 2018. "On parameters estimation of the Seasonal FISSAR Model," Documents de travail du Centre d'Economie de la Sorbonne 18018, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Johan Lundberg, 2006. "Spatial interaction model of spillovers from locally provided public services," Regional Studies, Taylor & Francis Journals, vol. 40(6), pages 631-644.
    3. Osei, Edward & Li, Huijun, 2016. "Value of information: costs and returns of precision corn production in Livingston County, Illinois," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 236184, Agricultural and Applied Economics Association.
    4. Brown, Jason P. & Lambert, Dayton M., 2009. "Short-run Birth and Death of U.S. Manufacturing Firms: 2000 - 2005," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46739, Southern Agricultural Economics Association.
    5. Khalid Haniza, 2015. "Spatial heterogeneity and spatial bias analyses in hedonic price models: some practical considerations," Bulletin of Geography. Socio-economic Series, Sciendo, vol. 28(28), pages 113-128, June.
    6. Wolfgang Karl Hardle and Maria Osipenko, 2012. "Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
    7. Bansal, Prateek & Krueger, Rico & Graham, Daniel J., 2021. "Fast Bayesian estimation of spatial count data models," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    8. Osei, Edward & Jafri, Syed H., 2015. "In-field Spatial Variability and Profitability of Precision Nitrogen Application On Corn in Buchanan County, Iowa," 2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California 205845, Agricultural and Applied Economics Association.
    9. Katchova, Ani L. & Sherrick, Bruce J. & Barry, Peter J., 2002. "The Effects Of Risk On Farmland Values And Returns," 2002 Annual meeting, July 28-31, Long Beach, CA 19660, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Wolfgang Karl Hrdle & Maria Osipenko, 2012. "Spatial Risk Premium on Weather Derivatives and Hedging Weather Exposure in Electricity," The Energy Journal, , vol. 33(2), pages 149-170, April.
    11. Schatzki, Todd, 2003. "Options, uncertainty and sunk costs:: an empirical analysis of land use change," Journal of Environmental Economics and Management, Elsevier, vol. 46(1), pages 86-105, July.
    12. Maria Francesca Cracolici & Miranda Cuffaro & Peter Nijkamp, 2007. "Geographical Distribution of Unemployment: An Analysis of Provincial Differences in Italy," Growth and Change, Wiley Blackwell, vol. 38(4), pages 649-670, December.
    13. Pede, Valerien O. & Florax, Raymond J.G.M. & Lambert, Dayton M., 2014. "Spatial econometric STAR models: Lagrange multiplier tests, Monte Carlo simulations and an empirical application," Regional Science and Urban Economics, Elsevier, vol. 49(C), pages 118-128.
    14. Marques, Felipe César & Telles, Tiago Santos, 2023. "Spatial effects are determinants of agricultural land prices in Brazil," Revista de Economia e Sociologia Rural (RESR), Sociedade Brasileira de Economia e Sociologia Rural, vol. 61(3), January.
    15. Francesco Bartolucci & Alessio Farcomeni, 2022. "A hidden Markov space–time model for mapping the dynamics of global access to food," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 246-266, January.
    16. Brown, Jason P. & Lambert, Dayton M. & Florax, Raymond J.G.M., 2010. "Manufacturing Transition in Local Economies: A Regional Adjustment Model," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61130, Agricultural and Applied Economics Association.
    17. Peter Congdon & Alan Smith & Christine Dean, 1998. "Assessing Psychiatric Morbidity from Community Registers: Methods for Bayesian Adjustment," Urban Studies, Urban Studies Journal Limited, vol. 35(12), pages 2323-2352, December.
    18. Rosella Castellano & Roy Cerqueti & Giulia Rotundo, 2020. "Exploring the financial risk of a temperature index: a fractional integrated approach," Annals of Operations Research, Springer, vol. 284(1), pages 225-242, January.
    19. Florax, Raymond J. G. M. & Folmer, Hendrik & Rey, Sergio J., 2003. "Specification searches in spatial econometrics: the relevance of Hendry's methodology," Regional Science and Urban Economics, Elsevier, vol. 33(5), pages 557-579, September.
    20. Porter, Jeremy R. & Purser, Christopher W., 2010. "Social disorganization, marriage, and reported crime: A spatial econometrics examination of family formation and criminal offending," Journal of Criminal Justice, Elsevier, vol. 38(5), pages 942-950, September.

    More about this item

    Keywords

    seasonality; spatial short memory; seasonal long memory; two-dimensional data; separable process; spatial stationary process; spatial autocovariance;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:halshs-01278126. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.