A note on spatial-temporal lattice modeling and maximum likelihood estimation

Statistics and Probability Letters

Volumn 82, Issue 12, 2012, Pages 2145-2155

  Zhang, Xiang ^a   Zheng, Yanbing ^a  

^a UNIVERSITY OF KENTUCKY   (United States)

Author keywords

Autoregressive models; Increasing domain asymptotics; Infill asymptotics; Linear regression; Spatial temporal process

Indexed keywords

EID: 84865307421     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2012.07.019     Document Type: Article

References (15)

1. Anselin L. Spatial econometrics. A Companion to Theoretical Econometrics 2001, Blackwell Publishers Ltd., Massachusetts. B.H. Baltagi (Ed.).
2. Baltagi B.H. Econometric Analysis of Panel Data 2005, Wiley, New York. third ed.
3. Cressie N. Statistics for Spatial Data 1993, Wiley, New York. revised ed.
4. Horn R.A., Johnson C.R. Matrix Analysis 1985, Cambridge University Press.
5. Kelejian H.H., Prucha I.R. On the asymptotic distribution of the Moran I test statistic with applications. Journal of Econometrics 2001, 104:217-257.
6. Lee L.-F. Asymptotic distribution of quasi-maximum likelihood estimators for spatial autoregressive models (with supplements). Econometrica 2004, 72:1899-1925.
7. Lee L.-F., Yu J. Estimation of spatial autoregressive panel data models with fixed effects. Journal of Econometrics 2010, 154:165-185.
8. Lee L.-F., Yu J. A spatial dynamic panel data model with both time and individual fixed effects. Econometric Theory 2010, 26:564-597.
9. Mardia K.V., Marshall R.J. Maximum likelihood estimation of models for residual covariance in spatial regression. Biometrika 1984, 71:135-146.
10. Newey W.K. Uniform convergence in probability and stochastic equicontinuity. Econometrica 1991, 59:1161-1167.
11. Robinson P., Thawornkaiwong S. Statistical inference on regression with spatial dependence. Journal of Econometrics 2012, 167:521-542.
12. White H. Estimation, Inference and Specification Analysis 1994, Cambridge University Press.
13. Yu J., de Jong R., Lee L. Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both n and t are large. Journal of Econometrics 2008, 146:118-134.
14. Zhang, X., Zheng, Y., 2012. A note on spatial-temporal lattice modeling and maximum likelihood estimation. Technical report. arxiv:1207.6363.
15. Zheng, Y., Zhu, J., 2011. On the asymptotics of maximum likelihood estimation for spatial linear models on a lattice. Sankhya - The Indian Journal of Statistics, Series A. Page (in press).