The Econometric Analysis of Non-Stationary Spatial Panel Data

Description

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. Front Matter ....Pages i-ix Space and Time are Inextricably Interwoven (Michael Beenstock, Daniel Felsenstein)....Pages 1-20 Time Series for Spatial Econometricians (Michael Beenstock, Daniel Felsenstein)....Pages 21-47 Spatial Data Analysis and Econometrics (Michael Beenstock, Daniel Felsenstein)....Pages 49-69 The Spatial Connectivity Matrix (Michael Beenstock, Daniel Felsenstein)....Pages 71-96 Unit Root and Cointegration Tests in Spatial Cross-Section Data (Michael Beenstock, Daniel Felsenstein)....Pages 97-127 Spatial Vector Autoregressions (Michael Beenstock, Daniel Felsenstein)....Pages 129-161 Unit Root and Cointegration Tests for Spatially Dependent Panel Data (Michael Beenstock, Daniel Felsenstein)....Pages 163-196 Cointegration in Non-Stationary Spatial Panel Data (Michael Beenstock, Daniel Felsenstein)....Pages 197-232 Spatial Vector Error Correction (Michael Beenstock, Daniel Felsenstein)....Pages 233-250 Strong and Weak Cross-Section Dependence in Non-Stationary Spatial Panel Data (Michael Beenstock, Daniel Felsenstein)....Pages 251-275