Christian Glocker, Matteo Iacopini, Tamás Krisztin, Philipp Piribauer
arXiv 30 Oct 2023 · Statistics — Applications · 3 citations (OpenAlex)
arXiv:2310.19557 · PDF · DOI · OpenAlex · Extracted main text
The spatial autoregressive (SAR) model is extended by introducing a Markov switching dynamics for the weight matrix and spatial autoregressive parameter. The framework enables the identification of regime-specific connectivity patterns and strengths and the study of the spatiotemporal propagation of shocks in a system with a time-varying spatial multiplier matrix. The proposed model is applied to disaggregated CPI data from 15 EU countries to examine cross-price dependencies. The analysis identifies distinct connectivity structures and spatial weights across the states, which capture shifts in consumer behaviour, with marked cross-country differences in the spillover from one price category to another.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Krisztin, T. and P. Piribauer (2022) A Bayesian approach for the estimation of weight matrices in spatial autoregressive models self | 1.000 | 5 | 3 | 100% |
| 2 | LeSage, J. and R. K. Pace (2009) Introduction to spatial econometrics | 0.928 | 4 | 3 | 100% |
| 3 | Glocker, C. and P. Piribauer (2023) Propagation of Price Shocks to CPI Inflation: The role of Cross-Demand Dependencies self | 0.874 | 5 | 2 | 100% |
| 4 | Debarsy, N. and J. P. LeSage (2022) Bayesian model averaging for spatial autoregressive models based on convex combinations of different types of connectivity matri… | 0.843 | 3 | 3 | 100% |
| 5 | Piribauer, P., C. Glocker, and T. Krisztin (2023) Beyond distance: The spatial relationships of european regional economic growth self | 0.511 | 2 | 1 | 100% |
| 6 | Carrière-Swallow, Y., P. Deb, D. Furceri, D. Jiménez, and J. D. Ostry (2023) Shipping costs and inflation | 0.405 | 1 | 1 | 100% |
| 7 | Fortunato, S (2010) Community detection in graphs | 0.405 | 1 | 1 | 100% |
| 8 | Newman, M. E. J (2010) Networks: An introduction | 0.405 | 1 | 1 | 100% |
| 9 | Regmi, A. and J. L. Seale (2010) Cross-price elasticities of demand across 114 countries | 0.405 | 1 | 1 | 100% |
| 10 | Allen, T. and C. Arkolakis (2023) Economic activity across space | 0.405 | 1 | 1 | 100% |
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