IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/15153.html
   My bibliography  Save this paper

OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version

Author

Listed:
  • Mynbaev, Kairat

Abstract

We find the asymptotic distribution of the OLS estimator of the parameters $% \beta$ and $\rho$ in the mixed spatial model with exogenous regressors $% Y_n=X_n\beta+\rho W_nY_n+V_n$. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix $W_n $ is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic distribution contains both linear and quadratic forms in standard normal variables and is not normal.

Suggested Citation

  • Mynbaev, Kairat, 2009. "OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version," MPRA Paper 15153, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:15153
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/15153/1/MPRA_paper_15153.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Paelinck, J., 1978. "Spatial econometrics," Economics Letters, Elsevier, vol. 1(1), pages 59-63.
    Full references (including those not matched with items on IDEAS)

    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. Bernard COUTROT & Jean H.P. PAELINCK & Alain SALLEZ & Ryan SUTTER, 2009. "On Potentialized Partial Finite Difference Equations: Analyzing The Complexity Of Knowledge-Based Spatial Economic Developments," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 29, pages 237-264.
    2. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
    3. Jean Paelinck & Mario Polese, 2000. "Modelling the Regional Impact of Continental Economic Integration: Lessons from the European Union for NAFTA," Regional Studies, Taylor & Francis Journals, vol. 33(8), pages 727-738.
    4. Raffaella SANTOLINI, 2007. "An Empitical Analysis of Political and Informative Trends on Municipalities of an Italian Region," Working Papers 294, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    5. Herrera Gómez, Marcos & Cid, Juan Carlos & Paz, Jorge Augusto, 2012. "Introducción a la econometría espacial: Una aplicación al estudio de la fecundidad en la Argentina usando R [Introduction to Spatial Econometrics: An application to the study of fertility in Argent," MPRA Paper 41138, University Library of Munich, Germany.
    6. Paelinck, Jean H. P., 2011. "On Some Analytical Statistics for Geographic Patterns: From Non-linearity to Linearity," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 21, pages 11-18.
    7. Jesus Mur, 1996. "A Future for Europe? Results with a Regional Prediction Model," Regional Studies, Taylor & Francis Journals, vol. 30(6), pages 549-565.
    8. Paelinck, J. & Mur, J. & Trívez, J., 2004. "Econometría espacial: más luces que sombras," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 22, pages 1-19, Diciembre.
    9. Nikias Sarafoglou & Jean Paelinck, 2008. "On diffusion of ideas in the academic world: the case of spatial econometrics," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 42(2), pages 487-500, June.
    10. Juan Carlos Duque & Raúl Ramos & Jordi Suriñach, 2007. "Supervised Regionalization Methods: A Survey," International Regional Science Review, , vol. 30(3), pages 195-220, July.
    11. LE GALLO, Julie, 2000. "Econométrie spatiale 1 -Autocorrélation spatiale," LATEC - Document de travail - Economie (1991-2003) 2000-05, LATEC, Laboratoire d'Analyse et des Techniques EConomiques, CNRS UMR 5118, Université de Bourgogne.
    12. Aleksander Noworól, 2017. "Revitalization as an Instrument of Local Development in Poland," Proceedings- 11th International Conference on Mangement, Enterprise and Benchmarking (MEB 2017),, Óbuda University, Keleti Faculty of Business and Management.
    13. Jesus Mur & Antonio Paez, 2011. "Local weighting or the necessity of flexibility," ERSA conference papers ersa11p942, European Regional Science Association.
    14. Corinne Autant-Bernard, 2012. "Spatial Econometrics of Innovation: Recent Contributions and Research Perspectives," Spatial Economic Analysis, Taylor & Francis Journals, vol. 7(4), pages 403-419, December.
    15. Jordi Pons-Novell & Elisabet Viladecans-Marsal, 1998. "Spatial dependence and Kaldor's laws: Evidence for the European regions," ERSA conference papers ersa98p55, European Regional Science Association.
    16. B. Fingleton & P. Cheshire & H. Garretsen & D. Igliori & J. Le Gallo & P. McCann & J. McCombie & V. Monastiriotis & B. Moore & M. Roberts, 2011. "Editorial," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(4), pages 351-357, December.
    17. Ancot, J.-P. & Iwema, R. & Paelinck, J. & den Broeder, G., 1980. "Test d’une hypothèse d’investissement à écarts multiples," L'Actualité Economique, Société Canadienne de Science Economique, vol. 56(1), pages 40-59, janvier-m.
    18. Shiyuan Chen & Sally Wallace, 2009. "Food Consumption in Jamaica: A Household and Social Behavior," International Center for Public Policy Working Paper Series, at AYSPS, GSU paper0901, International Center for Public Policy, Andrew Young School of Policy Studies, Georgia State University.
    19. Iancu, Aurel & Pecican, Eugen Stefan & Olteanu, Dan, 2010. "The Regression Calculus Of Economic Convergence And The Contribution Of The Institutional Factor," Working Papers of National Institute for Economic Research 100201, Institutul National de Cercetari Economice (INCE).
    20. Roberto Ganau, 2017. "Institutions and economic growth in Africa: a spatial econometric approach," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 34(3), pages 425-444, December.

    More about this item

    Keywords

    $L_p$-approximability; mixed spatial model; OLS asymptotics;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

    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:pra:mprapa:15153. 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: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    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.