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The Econometric Analysis of Non-Stationary Spatial Panel Data (Hardcover, 1st ed. 2019)
Loot Price: R3,035
Discovery Miles 30 350
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The Econometric Analysis of Non-Stationary Spatial Panel Data (Hardcover, 1st ed. 2019)
Series: Advances in Spatial Science
Expected to ship within 10 - 15 working days
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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 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 instead of assuming it to be
exogenously fixed. This is followed by a discussion of spatial
nonstationarity in spatial cross-section data, and a full
exposition of non-stationarity in both single and multi-equation
contexts, including the estimation and simulation of spatial vector
autoregression (VAR) models and spatial error correction (ECM)
models. The book reviews the literature on panel unit root tests
and panel cointegration tests for spatially independent data, and
for data that are strongly spatially dependent. It provides for the
first time critical values for panel unit root tests and panel
cointegration tests when the spatial panel data are weakly or
spatially dependent. The volume concludes with a discussion of
incorporating strong and weak spatial dependence in non-stationary
panel data models. All discussions are accompanied by empirical
testing based on a spatial panel data of house prices in Israel.
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