On vector autoregressive modeling in space and time

Despite the fact that it provides a potentially useful analytical tool, allowing for the joint modeling of dynamic interdependencies within a group of connected areas, until lately the VAR approach had received little attention in regional science and spatial economic analysis. While previous attempts at integrating vector autoregressions in a spatial econometric environment can be traced back, e.g., to the Lesage and Pan (1995) and Di Giacinto (2003, 2006) contributions, the recent article by Beenstock and Felsenstein (2007) is the first to provide a systematic treatment of the topic, by introducing the SpVAR model class. This paper aims at contributing further in this field by dealing with the issues of parameter identification and estimation and of structural impulse response analysis. In particular, the adaptation of the recursive identification scheme - one of the common approaches in the time series VAR literature - to a space-time environment is discussed. Parameter estimation,...

• Type: Journal
• Year: 2010
• Where: JGS
• Authors: Valter Di Giacinto
• Keywords: Di Giacinto, Impulse Response, JGS 2010, Recursive Identification Scheme