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A multivariate spatial econometrics model with an intra-location feedback effect

Shariati Fokalaei, Nima LU and Asgharian, Hossein LU (2016) International Conference on Computational and Financial Econometrics
Abstract
In the spatial multivariate econometrics models, the relations are typically built for the between location dependencies, which is adopted from univariate case like SEM and SLM models. However, this does not allow for intra-location dependencies to be accounted directly. The weakness of the previous models is shown analytically and using examples. A new multivariate spatial econometric model is presented that accounts for a feedback effect between variables within the same location, called intra-location feedback effect, which was not considered before in this area. Model identification and other basic properties of the spatial multivariate econometrics model, and especially for the extended version, are established. Statistical inferences... (More)
In the spatial multivariate econometrics models, the relations are typically built for the between location dependencies, which is adopted from univariate case like SEM and SLM models. However, this does not allow for intra-location dependencies to be accounted directly. The weakness of the previous models is shown analytically and using examples. A new multivariate spatial econometric model is presented that accounts for a feedback effect between variables within the same location, called intra-location feedback effect, which was not considered before in this area. Model identification and other basic properties of the spatial multivariate econometrics model, and especially for the extended version, are established. Statistical inferences are presented using a proposed analytical method based on empirical precision matrix and also the maximum likelihood. Model validation for new data sets is discussed. (Less)
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International Conference on Computational and Financial Econometrics
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English
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yes
id
d27bb703-c7ec-4e10-b88b-cea503a6e8f9
date added to LUP
2016-12-06 17:05:56
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2017-10-03 16:56:46
@misc{d27bb703-c7ec-4e10-b88b-cea503a6e8f9,
  abstract     = {In the spatial multivariate econometrics models, the relations are typically built for the between location dependencies, which is adopted from univariate case like SEM and SLM models. However, this does not allow for intra-location dependencies to be accounted directly. The weakness of the previous models is shown analytically and using examples. A new multivariate spatial econometric model is presented that accounts for a feedback effect between variables within the same location, called intra-location feedback effect, which was not considered before in this area. Model identification and other basic properties of the spatial multivariate econometrics model, and especially for the extended version, are established. Statistical inferences are presented using a proposed analytical method based on empirical precision matrix and also the maximum likelihood. Model validation for new data sets is discussed.},
  author       = {Shariati Fokalaei, Nima and Asgharian, Hossein},
  language     = {eng},
  title        = {A multivariate spatial econometrics model with an intra-location feedback effect},
  year         = {2016},
}