Martellosio, Federico (2009): Some correlation properties of spatial autoregressions.
This is the latest version of this item.

PDF
MPRA_paper_17254.pdf Download (555kB)  Preview 
Abstract
This paper investigates how the correlations implied by a firstorder simultaneous autoregressive (SAR(1)) process are affected by the weights matrix and the autocorrelation parameter. An interpretation of the covariance structure of the process is provided, based on the walks connecting the spatial units. The interpretation serves to explain a number of correlation properties of SAR(1) processes, and clarifies why in practical applications it is difficult, or even impossible, to use SAR(1) processes to impose some desired correlation properties on a given data set.
Item Type:  MPRA Paper 

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  CrossSectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions 
Item ID:  17254 
Depositing User:  Federico Martellosio 
Date Deposited:  11. Sep 2009 09:52 
Last Modified:  13. Feb 2013 15:34 
References:  Albramowitz, A., Stegun, S., 1979. Handbook of Mathematical Functions. Nauka, Moskow. Anselin, L., 1988. Spatial Econometrics: Methods and Models. Kluwer, Dordrecht. Bell, K.P., Bockstael, N.E., 2000. Applying the generalizedmoments estimation approach to spatial problems involving microlevel data. The Review of Economics and Statistics 82, 7282. Besag, J.E., 1972. On the correlation structure of some twodimensional stationary processes. Biometrika 59, 4348. Besag, J.E., 1974. Spatial interaction and the statistical analysis of lattice data. Journal of the Royal Statistical Society B 36, 192236. Biggs, N.L., 1993. Algebraic Graph Theory, second edition. Cambridge University Press, Cambridge. Bonacich, P., 1972. Factoring and weighting approaches to status scores and clique identification. Journal of Mathematical Sociology 2, 113120. Case, A., 1991. Spatial patterns in household demand. Econometrica 59, 953966. Cliff, A. D., Ord, J.K., 1981. Spatial Processes: Models and Applications. Pion, London. Cressie, N., 1993. Statistics for Spatial Data. Wiley, New York. Cvetković, D.M., Doob, M., Sachs, H., 1980. Spectra of Graphs. Academic Press, New York. Fingleton, B., 1999. Spurious spatial regression: some Monte Carlo results with a spatial unit root and spatial cointegration. Journal of Regional Science 39, 119. Harary, F.H. 1969. Graph Theory. AddisonWesley, Reading. Horn, R., Johnson, C.R., 1985. Matrix Analysis. Cambridge University Press, Cambridge. Kelejian, H.H., Robinson, D.P., 1995. Spatial correlation: a suggested alternative to the autoregressive model, in: L. Anselin, R. Florax (Eds.), New Directions in Spatial Econometrics. Springer Verlag, Berlin. Kelejian, H.H., Prucha, I.R., 2007. Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances. Journal of Econometrics, forthcoming. Lee, L.F., Yu, J., 2008. Near unit root in the spatial autoregressive model. Manuscript, The Ohio State University. Pinske, J., Slade, M.E., 1998. Contracting in space: an application of spatial statistics to discretechoice models. Journal of Econometrics 85, 125154. Straffin, P.D., 1980. Linear algebra in geography: eigenvectors of networks. Mathematics Magazine 53, 269276. Wall, M.M., 2004. A close look at the spatial structure implied by the CAR and SAR models. Journal of Statistical Planning and Inference 121, 311324. Whittle, P., 1954. On stationary processes in the plane. Biometrika 41, 434449. 
URI:  http://mpra.ub.unimuenchen.de/id/eprint/17254 
Available Versions of this Item

Some correlation properties of spatial autoregressions. (deposited 05. Feb 2009 03:21)
 Some correlation properties of spatial autoregressions. (deposited 11. Sep 2009 09:52) [Currently Displayed]