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Article: M-estimation for linear models with spatially-correlated errors

TitleM-estimation for linear models with spatially-correlated errors
Authors
KeywordsAsymptotic normality
Consistency
M-estimator
Spatial correlation
Issue Date2004
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jme
Citation
Journal Of Monetary Economics, 2004, v. 51 n. 2, p. 383-393 How to Cite?
AbstractWhen a linear model is used to analyze spatially correlated data, but the form of the spatial correlogram is unknown or difficult to specify, it is not straightforward to carry out valid statistical inference on regression parameters. We derive the asymptotic distributions for a class of M-estimators, which includes the least squares and the least absolute deviation, so as to provide the basis for valid large-sample inference even when the spatial correlation structure is not taken into account in estimating the regression coefficients. © 2003 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/82825
ISSN
2015 Impact Factor: 2.488
2015 SCImago Journal Rankings: 4.150
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorCui, Hen_HK
dc.contributor.authorHe, Xen_HK
dc.contributor.authorNg, KWen_HK
dc.date.accessioned2010-09-06T08:33:50Z-
dc.date.available2010-09-06T08:33:50Z-
dc.date.issued2004en_HK
dc.identifier.citationJournal Of Monetary Economics, 2004, v. 51 n. 2, p. 383-393en_HK
dc.identifier.issn0304-3932en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82825-
dc.description.abstractWhen a linear model is used to analyze spatially correlated data, but the form of the spatial correlogram is unknown or difficult to specify, it is not straightforward to carry out valid statistical inference on regression parameters. We derive the asymptotic distributions for a class of M-estimators, which includes the least squares and the least absolute deviation, so as to provide the basis for valid large-sample inference even when the spatial correlation structure is not taken into account in estimating the regression coefficients. © 2003 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jmeen_HK
dc.relation.ispartofJournal of Monetary Economicsen_HK
dc.rightsStatistics & Probability Letters. Copyright © Elsevier BV.en_HK
dc.subjectAsymptotic normalityen_HK
dc.subjectConsistencyen_HK
dc.subjectM-estimatoren_HK
dc.subjectSpatial correlationen_HK
dc.titleM-estimation for linear models with spatially-correlated errorsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-7152&volume=66&issue=4&spage=383&epage=393&date=2004&atitle=M-estimation+for+linear+models+with+spatially-correlated+errorsen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.spl.2003.10.018en_HK
dc.identifier.scopuseid_2-s2.0-0842290698en_HK
dc.identifier.hkuros109896en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0842290698&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume51en_HK
dc.identifier.issue2en_HK
dc.identifier.spage383en_HK
dc.identifier.epage393en_HK
dc.identifier.isiWOS:000189230600001-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridCui, H=7201385510en_HK
dc.identifier.scopusauthoridHe, X=7404407842en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK

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