Modeling of Dynamic Spatial Processes
Journal Title: Dynamic Econometric Models - Year 2009, Vol 9, Issue 1
Abstract
The paper is concerned with econometric modeling of the dynamic spatial processes on the example of the GDP per capita in selected European countries. The considerations of the paper are focused on investigations of the structure of components of the spatio-temporal process. As a result of the analysis some specifications of the dynamic spatial models have been obtained. Next the issues of the estimation and verification of the models are presented. The main conclusion from the analysis is that the econometric models of the spatio-temporal processes ought to be of the dynamic character, e.g. considering the spatial and spatio-temporal trends and spatial, temporal and spatio-temporal autodependence as well.
Authors and Affiliations
Elżbieta Szulc
Keywords
Related Articles
- EP ID EP108392
- DOI -
- Views 102
- Downloads 0
Identification of the Structures of Spatial and Spatio-Temporal Processes and a Problem of Data Aggregation
The paper concerns the measurement of the dependence between economic spatial and also spatio-temporal processes at various levels of data aggregation. The considerations refer to the investigations confirming efficiency...
Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Elliptical distributions commonly applied to modeling the returns of stocks in high-dimensional portfolio are not capable of adequate describing the dependence between the components when their statistical properties are...
Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
Construction, estimation and application of the mutual information measure have been presented in this paper. The simulations have been carried out to verify its usefulness to detect nonlinear serial dependencies. Moreov...
The Synchronization of Regional Business Cycles with Nationwide Cycles
This paper attempts to assess the level of synchronization between the business cycles of Poland’s regions and those of the country as a whole. The measure of economic activity was an index of total industrial output sol...
Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (). Using daily da...