Martellosio, Federico (2008): Some correlation properties of spatial autoregressions.
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Abstract
This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix W and the autocorrelation parameter . We provide an interpretation of the covariances between the random variables observed at two spatial units, based on a particular type of walks connecting the two units. The interpretation serves to explain a number of correlation properties of SAR(1) models, and clarifies why it is impossible to control the correlations through the specification of W.
Item Type: | MPRA Paper |
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Original Title: | Some correlation properties of spatial autoregressions |
Language: | English |
Keywords: | simultaneous autoregressions; spatial autocorrelation; spatial weights matrices; walks in graphs |
Subjects: | C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions |
Item ID: | 13141 |
Depositing User: | Federico Martellosio |
Date Deposited: | 05. Feb 2009 03:21 |
Last Modified: | 11. Feb 2013 10:29 |
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URI: | http://mpra.ub.uni-muenchen.de/id/eprint/13141 |
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