In a general formulation of a spatio-temporal models we believe that simultaneous spatial effects cannot be disregarded. If simultaneous spatio-temporal effects are present in the data generating process, LS estimates become inconsistent. To estimate this effects, recent literature propose the use of maximum likelihood estimates, while in our opinion two-stage least square seems to be more appropriate and computationally easier to handle. In this paper we estimate a model in which the specification of space-time simultaneous effects take into account intensity and direction of relations among variables in different sites not depending on distance. An empirical application to monthly data on the index of industrial turnover in Lombardy is presented.

Naccarato, A. (2004). I minimi quadrati a due stadi per la stima di serie spazio-temporali con effetto simultaneo. QUADERNI DI STATISTICA, 6, 49-69.

I minimi quadrati a due stadi per la stima di serie spazio-temporali con effetto simultaneo

NACCARATO, ALESSIA
2004-01-01

Abstract

In a general formulation of a spatio-temporal models we believe that simultaneous spatial effects cannot be disregarded. If simultaneous spatio-temporal effects are present in the data generating process, LS estimates become inconsistent. To estimate this effects, recent literature propose the use of maximum likelihood estimates, while in our opinion two-stage least square seems to be more appropriate and computationally easier to handle. In this paper we estimate a model in which the specification of space-time simultaneous effects take into account intensity and direction of relations among variables in different sites not depending on distance. An empirical application to monthly data on the index of industrial turnover in Lombardy is presented.
2004
Naccarato, A. (2004). I minimi quadrati a due stadi per la stima di serie spazio-temporali con effetto simultaneo. QUADERNI DI STATISTICA, 6, 49-69.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11590/119140
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