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Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients

  • Published:2016-10 Issue:2 Volume:194 Page:369-382
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Dou Baojun,Parrella Maria Lucia,Yao Qiwei

Funder

EPSRC

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference13 articles.

1. Estimating high dimensional covariance matrices and its applications;Bai;Ann. Econ. Financ.,2011

2. Testing panel data regression models with spatial error correlation;Baltagi;J. Econometrics,2003

3. High dimensional generalized empirical likelihood for moment restrictions with dependent data;Chang;J. Econometrics,2014

4. Chang, J., Guo, B., Yao, Q., 2014b. Principal component analysis for second-order stationary vector time series. Manuscript.

5. Spatial Autocorrelation;Cliff,1973

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