Some correlation properties of spatial autoregressions

Martellosio, Federico (2008): Some correlation properties of spatial autoregressions.

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
• 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

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