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Efficiency of the OLS estimator in the vicinity of a spatial unit root

Martellosio, F (2011) Efficiency of the OLS estimator in the vicinity of a spatial unit root Statistics and Probability Letters, 81 (8). pp. 1285-1291.

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Abstract

Previous results have indicated that the OLS estimator of the vector of regression coefficients can be nearly as efficient as the best linear unbiased estimator when the regression errors follow a spatial process with root in the vicinity of unity. Such results were derived under the assumption of a symmetric weights matrix, which simplifies the analysis considerably, but is very often not satisfied in applications. This paper provides nontrivial generalizations to the important case of nonsymmetric weights matrices. © 2011 Elsevier B.V.

Item Type: Article
Authors :
NameEmailORCID
Martellosio, Ff.martellosio@surrey.ac.ukUNSPECIFIED
Date : 1 August 2011
Identification Number : https://doi.org/10.1016/j.spl.2011.03.030
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:13
Last Modified : 17 May 2017 14:33
URI: http://epubs.surrey.ac.uk/id/eprint/818138

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