Spatial and Spatiotemporal Econometrics

by LeSage; Kelley Pace

• ISBN13: 9780762311484
• ISBN10: 0762311487
• Format: Hardcover
• Copyright: 2004-12-30
• Publisher: Elsevier Science & Technology

Summary

This volume focuses on econometric models that confront estimation and inference issues occurring when sample data exhibit spatial or spatiotemporal dependence. This can arise when decisions or transactions of economic agents are related to the behaviour of nearby agents. Dependence of one observation on neighbouring observations violates the typical assumption of independence made in regression analysis. Contributions to this volume by leading experts in the field of spatial econometrics provide details regarding estimation and inference based on a variety of econometric methods including, maximum likelihood, Bayesian and hierarchical Bayes, instrumental variables, generalized method of moments, maximum entropy, non-parametric and spatiotemporal. An overview of spatial econometric models and methods is provided that places contributions to this volume in the context of existing literature. New methods for estimation and inference are introduced in this volume and Monte Carlo comparisons of existing methods are described. In addition to topics involving estimation and inference, approaches to model comparison and selection are set forth along with new tests for spatial dependence and functional form. These methods are applied to a variety of economic problems including: hedonic real estate pricing, agricultural harvests and disaster payments, voting behaviour, identification of edge cities, and regional labour markets. The volume is supported by a web site containing data sets and software to implement many of the methods described by contributors to this volume.

Table of Contents

List of Contributors	vii
Introduction	1	(34)
James P. LeSage
R. Kelley Pace
PART I: MAXIMUM LIKELIHOOD METHODS
Testing for Linear and Log-Linear Models Against Box-Cox Alternatives with Spatial Lag Dependence	35	(40)
Badi H. Baltagi
Dong Li
Spatial Lags and Spatial Errors Revisited: Some Monte Carlo Evidence	75	(26)
Robin Dubin
PART II: BAYESIAN METHODS
Bayesian Model Choice in Spatial Econometrics	101	(26)
Leslie W. Hepple
A Bayesian Probit Model with Spatial Dependencies	127	(36)
Tony E. Smith
James P. LeSage
PART III: ALTERNATIVE ESTIMATION METHODS
Instrumental Variable Estimation of a Spatial Autoregressive Model with Autoregressive Disturbances: Large and Small Sample Results	163	(36)
Harry H. Kelejian
Ingmar R. Prucha
Yevgeny Yuzefovich
Generalized Maximum Entropy Estimation of a First Order Spatial Autoregressive Model	199	(38)
Thomas L. Marsh
Ron C. Mittelhammer
PART IV: NONPARAMETRIC METHODS
Employment Subcenters and Home Price Appreciation Rates in Metropolitan Chicago	237	(22)
Daniel P. McMillen
Searching for Housing Submarkets Using Mixtures of Linear Models	259	(20)
M. D. Ugarte
T. Goicoa
A. F. Militino
PART V: SPATIOTEMPORAL METHODS
Spatio-Temporal Autoregressive Models for U.S. Unemployment Rate	279	(16)
Xavier de Luna
Marc G. Genton
A Learning Rule for Inferring Local Distributions Over Space and Time	295
Stephen M. Stohs
Jeffrey T. LaFrance