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The econometric analysis of non-stationary spatial panel data

Author: Michael Beenstock; Daniel Felsenstein
Publisher: Cham, Switzerland : Springer, 2019.
Series: Advances in spatial science., Regional science series
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: (OCoLC)1055829085
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael Beenstock; Daniel Felsenstein
ISBN: 9783030036140 3030036146
OCLC Number: 1091623509
Description: 1 online resource (ix, 275 pages) : illustrations (some color).
Contents: Intro; Acknowledgements; Contents; Chapter 1: Space and Time are Inextricably Interwoven; 1.1 Introduction; 1.2 Spatial Econometrics; 1.3 Time and Space; 1.4 Methodological Solipsism; 1.5 The Chapters Ahead; 1.6 Overview; References; Chapter 2: Time Series for Spatial Econometricians; 2.1 Introduction: Spurious and Nonsense Regressions; 2.2 The Functional Central Limit and Continuous Mapping Theorems; 2.3 Univariate Unit Root Tests; 2.4 Panel Unit Root Test; 2.5 Cointegration (OLS); 2.6 Cointegration Methodologies; 2.7 Panel Cointegration; 2.8 Structural Vector Autoregressions 2.9 Causality, Exogeneity and Predictability2.10 Cointegration, Causality and Identification; 2.11 Autoregressive Conditional Heteroscedasticity (ARCH); References; Chapter 3: Spatial Data Analysis and Econometrics; 3.1 Introduction; 3.2 The Nature of Spatial Data; 3.3 Spatial Connectivity; 3.4 The Spatial Lag Model; 3.5 Spatial Autocorrelation; 3.6 Spatial Heterogeneity; 3.7 Modifiable Areal Unit Problem (MAUP); 3.8 Spatial Filtering; 3.9 Spatial Panel Data; References; Chapter 4: The Spatial Connectivity Matrix; 4.1 Introduction; 4.2 Methodology; 4.3 Empirical Application; References Chapter 5: Unit Root and Cointegration Tests in Spatial Cross-Section Data5.1 Introduction; 5.2 Data Generating Processes; 5.3 Spatial Impulse Responses; 5.4 Spatial Unit Root Tests; 5.5 Spatial Cointegration Tests; References; Chapter 6: Spatial Vector Autoregressions; 6.1 Introduction; 6.2 SpVAR Theory; 6.3 Econometric Issues; 6.3.1 Data; 6.4 Results; References; Chapter 7: Unit Root and Cointegration Tests for Spatially Dependent Panel Data; 7.1 Introduction; 7.2 Unit Roots; 7.3 Spatial Panel Cointegration; 7.4 Spatial Error Correction; 7.5 Identification; 7.6 Confidence Intervals 10.3 Regional Investment Policy and Foreign Direct Investment10.4 Strong and Weak Cross-Section Dependence in the SGE Residuals; References
Series Title: Advances in spatial science., Regional science series
Responsibility: Michael Beenstock, Daniel Felsenstein.

Abstract:

This monograph deals with spatially dependent nonstationary time series in a way accessible to both time series econometricians wanting to understand spatial econometics, and spatial econometricians  Read more...

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