Efficiency of the OLS estimator in the vicinity of a spatial unit root

被引：9

作者：

Martellosio, Federico ^{[1
]}

机构：

[1] Univ Reading, Sch Econ, Reading RG6 6AW, Berks, England

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 08期

关键词：

Efficiency of OLS; Linear regression; Spatial autocorrelation; Spatial unit root; LINEAR-REGRESSION MODEL; COCHRANE-ORCUTT-ESTIMATOR; FINITE-SAMPLE EFFICIENCY; RELATIVE EFFICIENCY; LEAST-SQUARES; ASYMPTOTIC INFERENCE; AUTOCORRELATION; ERRORS; DISTURBANCES; MATRICES;

D O I：

10.1016/j.spl.2011.03.030

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Previous results have indicated that the OLS estimator of the vector of regression coefficients can be nearly as efficient as the best linear unbiased estimator when the regression errors follow a spatial process with root in the vicinity of unity. Such results were derived under the assumption of a symmetric weights matrix, which simplifies the analysis considerably, but is very often not satisfied in applications. This paper provides nontrivial generalizations to the important case of nonsymmetric weights matrices. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1285 / 1291

页数：7

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