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CANCELLED Joint S.C. Tsiang Macroeconomics Workshop and Econometrics Workshop: Mark Watson

Thursday, October 13, 2022 at 11:15am to 12:45pm

Sage Hall, 141

CANCELLED

Mark Watson, Princeton University

Spatial Unit Roots (joint w/ Ulrich K. Mueller)

Abstract:  This paper proposes a model for, and investigates the consequences of, strong spatial dependence in economic variables. Our approach and findings echo those of the corresponding “unit root” time series literature: We suggest a model for spatial I(1) processes, and establish a Functional Central Limit Theorem that justifies a large sample Gaussian process approximation for such processes. We further generalize the I(1) model to a spatial “local-to-unity” model that exhibits weak mean reversion. We characterize the large sample behavior of regression inference with independent spatial I(1) variables, and establish that spurious regression is as much a problem with spatial I(1) data as it is with time series I(1) data. We also develop asymptotically valid spatial unit root and stationarity tests, as well inference for the local-to-unity parameter. And finally, we consider strategies for valid inference in regressions with persistent (I(1) or local-to-unity) spatial data, such as spatial analogues of first-differencing transformations.

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Event Type

Seminar, Class/ Workshop

Departments

Economics

Tags

economics, EconSeminar, EconMetrics, EconMacro

Contact E-Mail

alg5@cornell.edu

Contact Name

Amy Moesch

Contact Phone

6072555617

Speaker

Mark Watson

Speaker Affiliation

Princeton University

Open To

Cornell Economics Community (List Serve Members)