4.2 Article

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

期刊

STATISTICS & PROBABILITY LETTERS
卷 81, 期 8, 页码 1285-1291

出版社

ELSEVIER SCIENCE BV
DOI: 10.1016/j.spl.2011.03.030

关键词

Efficiency of OLS; Linear regression; Spatial autocorrelation; Spatial unit root

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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. (C) 2011 Elsevier B.V. All rights reserved.

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