Beenstock / Felsenstein

The Econometric Analysis of Non-Stationary Spatial Panel Data

Springer International Publishing

ISBN 978-3-030-03614-0

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Bibliografische Daten

eBook. PDF

2019

IX, 275 p. 45 illus., 40 illus. in color..

In englischer Sprache

Umfang: 275 S.

Verlag: Springer International Publishing

ISBN: 978-3-030-03614-0

Weiterführende bibliografische Daten

Das Werk ist Teil der Reihe: Advances in Spatial Science

Produktbeschreibung

This monograph deals with spatially dependent non-stationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians lacking a grounding in time series analysis. After charting key concepts in both time series and spatial econometrics, the book discusses how the spatial connectivity matrix can be estimated using spatial panel data instead of assuming it to be exogenously fixed. This is followed by a discussion of spatial non-stationarity in spatial cross-section data, and a full exposition of non stationarity in both single and multi-equation contexts, including the estimation and simulation of spatial vector autoregression (VAR) models and spatial error correction (ECM) models. The book reviews the literature on panel unit root tests and panel cointegration tests for spatially independent data, and for data that are strongly spatially dependent. It provides for the first time criticalvalues for panel unit root tests and panel cointegration tests when the spatial panel data are weakly or spatially dependent. The volume concludes with a discussion of incorporating strong and weak spatial dependence in non-stationary panel data models. All discussions are accompanied by empirical testing based on a spatial panel data of house prices in Israel.

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