Estimation of the spatial weights matrix under structural constraints

Regional Science and Urban Economics

Volumn 43, Issue 4, 2013, Pages 617-634

  Bhattacharjee, Arnab ^a   Jensen Butler, Chris ^a,b  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF ST ANDREWS   (United Kingdom)

Author keywords

Gradient projection; Housing demand; Partial identification; Spatial autocorrelation; Spatial error model; Spatial weights matrix

Indexed keywords

AUTOCORRELATION; ERROR ANALYSIS; ESTIMATION METHOD; HOUSING MARKET; SPATIAL ANALYSIS;

UNITED KINGDOM;

EID: 84877830392     PISSN: 01660462     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.regsciurbeco.2013.03.005     Document Type: Article

References (66)

1. Aldstadt J., Getis A. Using AMOEBA to create a spatial weights matrix and identify spatial clusters. Geographical Analysis 2006, 38:327-343.
2. Anglin P.M., Rutherford R., Springer T.M. The trade-off between selling price of residential properties and time-on-the-market: the impact of price setting. Journal of Real Estate Finance and Economics 2003, 26:95-111.
3. Anselin L. Spatial Econometrics: Methods and Models 1988, Kluwer Academic Publishers, Dordrecht, The Netherlands.
4. Anselin L. Spatial econometrics. A Companion to Theoretical Econometrics 1999, 310-330. Basil Blackwell, Oxford. B.H. Baltagi (Ed.).
5. Anselin L. Under the hood: issues in the specification and interpretation of spatial regression models. Agricultural Economics 2002, 27:247-267.
6. Baltagi B., Song S.H., Koh W. Testing panel data regression models with spatial error correlation. Journal of Econometrics 2003, 117:123-150.
7. Barker K. Review of housing supply. Interim Report 2003, HM Treasury, London.
8. Barro R.J., Sala-i-Martin X. Convergence. Journal of Political Economy 1992, 100:223-251.
9. Beenstock M., Felsenstein D. Nonparametric estimation of the spatial connectivity matrix using spatial panel data. Geographical Analysis 2012, 44:386-397.
10. Bell K.P., Bockstael N.E. Applying the generalized-moments estimation approach to spatial problems involving microlevel data. The Review of Economics and Statistics 2000, 82:72-82.
11. Beran R., Srivastava M.S. Bootstrap tests and confidence regions for functions of a covariance matrix. The Annals of Statistics 1985, 13:95-115.
12. Bhattacharjee, A., Holly, S., 2008. Taking personalities out of monetary policy decision making? Interactions, heterogeneity and committee decisions in the Bank of England's MPC. Mimeo. Revised version of Working Paper 0612, Centre for Dynamic Macroeconomic Analysis, University of St Andrews, UK.
13. Bhattacharjee A., Holly S. Structural interactions in spatial panels. Empirical Economics 2011, 40:69-94.
14. Bhattacharjee A., Holly S. Understanding interactions in social networks and committees. Spatial Economic Analysis 2013, 8:23-53.
15. Bhattacharjee A., Jensen-Butler C. A model of regional housing markets in England and Wales. CRIEFF Discussion Paper No. 0508 2005, Centre for Research into Industry, Enterprise, Finance and the Firm, University of St. Andrews.
16. Bhattacharjee A., Castro E.A., Marques J.L. Spatial interactions in hedonic pricing models: the urban housing market of Aveiro, Portugal. Spatial Economic Analysis 2012, 7:133-167.
17. Born B., Breitung J. Simple regression based tests for spatial dependence. Econometrics Journal 2011, 14:330-342.
18. Bound J., Jaeger D., Baker R. Problems with instrumental variables estimation when the correlation between instruments and the endogenous explanatory variable is weak. Journal of American Statistical Association 1995, 90:443-450.
19. Cameron A.C., Trivedi P.K. Microeconometrics: Methods and Applications 2005, Cambridge University Press, Cambridge, UK.
20. Cayley A. Sur quelques propriétés des dé terminants gauches. Journal für die Reine und Angewandte Mathematik (Crelle's Journal) 1846, 32:119-123. Reprinted in the.
21. Collected Mathematical Papers of A. Cayley 1889-1898, vol. 1:332-336. Cambridge University Press.
22. Cheshire P., Sheppard S. Capitalising the value of free schools: the impact of supply constraints and uncertainty. Economic Journal 2004, 114:F397-F424.
23. Conley T.G. GMM estimation with cross sectional dependence. Journal of Econometrics 1999, 92:1-45.
24. Corrado L., Fingleton B. Where is the economics in spatial econometrics?. Journal of Regional Science 2011, 20:1-30.
25. Fair R.C. Bootstrapping macroeconometric models. Studies in Nonlinear Dynamics and Econometrics 2003, 7:4. (Article 1).
26. Fik T.J., Ling D.C., Mulligan G.F. Modeling spatial variation in housing prices: a variable interaction approach. Real Estate Economics 2003, 31:623-646.
27. Fingleton B. Externalities, economic geography and spatial econometrics: conceptual and modeling developments. International Regional Science Review 2003, 26:197-207.
28. Folmer H., Oud J. How to get rid of W: a latent variables approach to modelling spatially lagged variables. Environment and Planning A 2008, 40:2526-2538.
29. Freedman D. On bootstrapping two-stage least squares estimates in stationary linear models. The Annals of Statistics 1984, 12:827-842.
30. Getis A., Aldstadt J. Constructing the spatial weights matrix using a local statistic. Geographical Analysis 2004, 36:90-104.
31. Giacomini R., Granger C.W.J. Aggregation of space-time processes. Journal of Econometrics 2004, 118:7-26.
32. Gibbons S. The costs of urban property crime. Economic Journal 2004, 114:F441-F463.
33. Gibbons S., Machin S. Valuing rail access using transport innovations. Journal of Urban Economics 2005, 57:148-169.
34. Harris R., Moffat J., Kravtsova V. In search of 'W'. Spatial Economic Analysis 2011, 6:249-270.
35. Haurin D.R., Brasington D. School quality and real house prices: intra- and interjurisdictional effects. Journal of Housing Economics 1996, 5:351-368.
36. Hausman J.A., Taylor W.E. Identification in simultaneous equation systems with covariance restrictions. Econometrica 1983, 51:1527-1549.
37. Hausman J.A., Newey W.K., Taylor W.E. Efficient estimation and identification of simultaneous equation models with covariance restrictions. Econometrica 1987, 55:849-874.
38. Hendershott P. Rental adjustment and valuation in overbuilt markets: evidence from the Sydney office market. Journal of Urban Economics 1996, 39:51-67.
39. Herander M.G., Saavedra L.A. Exports and the structure of immigrant-based networks: the role of geographic proximity. Review of Economics and Statistics 2005, 87:323-335.
40. Holly S., Pesaran M.H., Yamagata T. The spatial and temporal diffusion of house prices in the UK. Journal of Urban Economics 2011, 69(1):2-23.
41. Jennrich R.I. A simple general procedure for orthogonal rotation. Psychometrika 2001, 66:289-306.
42. Jennrich R.I. Derivative free gradient projection algorithms for rotation. Psychometrika 2004, 69:475-480.
43. Kato T. A Short Introduction to Perturbation Theory for Linear Operators 1982, Springer-Verlag, New York.
44. Kelejian H.H., Prucha I.R. A generalized moments estimator for the autoregressive parameter in a spatial model. International Economic Review 1999, 40:509-533.
45. Kelejian H.H., Prucha I.R. Estimation of systems of spatially interrelated cross sectional equations. Journal of Econometrics 2004, 118:27-50.
46. Ledoit O., Wolf M. Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size. The Annals of Statistics 2002, 30:1081-1102.
47. Lee L.-F. Asymptotic distribution of quasi-maximum likelihood estimators for spatial autoregressive models. Econometrica 2004, 72:1899-1925.
48. Lee L.-F., Yu J. Spatial panels: random components versus fixed effects. International Economic Review 2012, 53:1369-1412.
49. Mardia K.V., Marshall R.J. Maximum likelihood estimation of models for residual covariance in spatial regression. Biometrika 1984, 71:135-146.
50. McDonald R.P. A note on the factor analysis of partial covariance matrices. Psychometrika 1978, 43(1):121.
51. Meen G. Spatial aggregation, spatial dependence and predictability in the UK housing market. Housing Studies 1996, 11:345-372.
52. Meen G. Regional house prices and the ripple effect: a new interpretation. Housing Studies 1999, 14:733-753.
53. Meen G. Modelling Spatial Housing Markets: Theory, Analysis and Policy 2001, Kluwer Academic Publishers, Boston.
54. Meen G. Regional housing supply elasticities in England. Report prepared for the Barker Review of Housing Supply 2003, Centre for Spatial and Real Estate Economics, University of Reading, (October 2003).
55. Meen D., Meen G. Social behaviour as a basis for modelling the urban housing market: a review. Urban Studies 2003, 40:917-935.
56. Nagao H. On some test criteria for covariance matrix. Annals of Statistics 1973, 1:700-709.
57. Newey W.K. Uniform convergence in probability and stochastic equicontinuity. Econometrica 1991, 59:1161-1167.
58. Ord J.K. Estimation methods for models of spatial interaction. Journal of the American Statistical Association 1975, 70:120-126.
59. Pesaran M.H., Tosetti E. Large panels with common factors and spatial correlation. Journal of Econometrics 2011, 161:182-202.
60. Pinkse J., Slade M.E., Brett C. Spatial price competition: a semiparametric approach. Econometrica 2002, 70:1111-1155.
61. Reiersöl O. Rational orthogonal matrices. American Mathematical Monthly 1963, 70:63-65.
62. Rey S.J., Montouri B.D. US regional income convergence: a spatial econometric perspective. Regional Studies 1999, 33:143-156.
63. Rilstone P., Veall M. Using bootstrapped confidence intervals for improved inferences with seemingly unrelated regression equations. Econometric Theory 1996, 12:569-580.
64. Serfling R.J. Approximation Theorems of Mathematical Statistics 1980, Wiley, New York.
65. Taylor A.E., Mann W.R. Advanced Calculus 1983, New York, Wiley. 3rd ed.
66. van der Vaart A.W., Wellner J.A. Weak Convergence and Empirical Processes 1996, Springer, New York.