<p><p>We consider cross-sectional data that exhibit no spatial correlation, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entailing a form of spatial autoregression, can explain such behaviour. The parameters are estimated by pseudo Gaussian maximum likelihood based on log-transformed squares, and consistency and asymptotic normality are established. Asymptotically valid tests for spatial independence are developed.</p></p>
Authors
Peter Robinson
Suggested citation
Robinson, P. (2009). 'Large-sample inference on spatial dependence' (2009)
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