1. Efficiency of the OLS estimator in the vicinity of a spatial unit root
- Author
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Martellosio, Federico
- Subjects
- *
LEAST squares , *REGRESSION analysis , *ESTIMATION theory , *NONSYMMETRIC matrices , *SYMMETRIC matrices , *AUTOCORRELATION (Statistics) - Abstract
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. [Copyright &y& Elsevier]
- Published
- 2011
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