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Asymptotic Properties of the LSE of a Spatial Regression in both Weakly and Strongly Dependent Stationary Random Fields

Author

Listed:
  • Yoshihiro Yajima

    (Faculty of Economics, University of Tokyo)

  • Yasumasa Matsuda

    (Faculty of Economics, Tohoku University)

Abstract

We consider asymptotic properties of the least squares estimator(LSE) in spatial regression with correlated errors. Firstly we derive sufficient conditions for the LSE to be strongly consistent and next necessary and/or sufficient conditions tor the LSE to be asymptotically efficient relative to the best liner unbiased estimator(BLUE). Finally we derive the asymptotic distribution of the LSE under conditions on the higher order cumulants of the error terms and the Fourier transforms of the regressors. The main feature is that we propose a unified way in which we can deal with both weakly dependent and strongly dependent error terms.

Suggested Citation

  • Yoshihiro Yajima & Yasumasa Matsuda, 2008. "Asymptotic Properties of the LSE of a Spatial Regression in both Weakly and Strongly Dependent Stationary Random Fields," CIRJE F-Series CIRJE-F-587, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2008cf587
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    Cited by:

    1. Javier Hidalgo & Myung Hwan Seo, 2013. "Specification For Lattice Processes," STICERD - Econometrics Paper Series 562, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Peter M Robinson, 2011. "Inference on Power Law Spatial Trends (Running Title: Power Law Trends)," STICERD - Econometrics Paper Series 556, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. repec:cep:stiecm:/2013/562 is not listed on IDEAS
    4. repec:cep:stiecm:/2011/556 is not listed on IDEAS
    5. Robinson, Peter M., 2011. "Inference on power law spatial trends (Running Title: Power Law Trends)," LSE Research Online Documents on Economics 58100, London School of Economics and Political Science, LSE Library.
    6. Hidalgo, Javier & Seo, Myung Hwan, 2015. "Specification Tests For Lattice Processes," Econometric Theory, Cambridge University Press, vol. 31(2), pages 294-336, April.

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