A Flexible Specification of Space–Time AutoRegressive Models
| Title | A Flexible Specification of Space–Time AutoRegressive Models |
| Publication Type | Working Paper |
| Year of Publication | 2016 |
| Authors | Otranto, E, Mucciardi, M |
| Number | 2016_08 |
| Publication Language | eng |
| ISBN Number | 978 88 9386 001 7 |
| Keywords | clustering, forecasting, space–time models, spatial weight matrix |
| Abstract | The Space–Time Autoregressive (STAR) model is one of the most widely used models to represent the dynamics of a certain variable recorded at several locations at the same time, capturing both their temporal and spatial relationships. Its advantages are often discussed in terms of parsimony with respect to space-time VAR structures because it considers a single coefficient for each time and spatial lag for the full time span and the full location set. This hypothesis can be very strong; the presence of groups of locations with similar dynamics makes it more realistic. In this work we add a certain degree of flexibility to the STAR model, providing the possibility for coefficients to vary in groups of locations, proposing a new class of flexible STAR models. Such groups are detected by means of a clustering algorithm. The new class or model is compared to the classical STAR and the space-time VAR by simulation experiments and a practical application. |
| Citation Key | 6586 |
| Attachment | Size |
|---|---|
| 1.33 MB |
