Barde, S., Cherodian, R. and Tchuente, G. (2025) Moran’s I Lasso for models with spatially correlated data. The Econometrics Journal. utaf008. ISSN 1368-4221
Abstract
This paper proposes a Lasso-based estimator which uses information embedded in the Moran statistic to develop a selection procedure called Moran’s I Lasso (Mi-Lasso) to solve the Eigenvector Spatial Filtering (ESF) eigenvector selection problem. ESF uses a subset of eigenvectors from a spatial weights matrix to efficiently account for any omitted spatially correlated terms in a classical linear regression framework, thus eliminating the need for the researcher to explicitly specify the spatially correlated parts of the model. We proposed the first ESF procedure accounting for post-selection inference. We derive performance bounds and show the necessary conditions for consistent eigenvector selection. The key advantages of the proposed estimator are that it is intuitive, theoretically grounded, able to provide robust inference and substantially faster than Lasso based on cross-validation or any proposed forward stepwise procedure. Our simulation results and an application on house prices demonstrate Mi-Lasso performs well compared to existing procedures in finite samples.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | © The Author(s) 2025. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted reuse, distribution, and reproduction in any medium, provided the original work is properly cited. |
Keywords: | Spectral analysis; cross-sectional dependence; post-selection inference; high-dimensional statistics; Lasso |
Dates: |
|
Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Medicine, Dentistry and Health (Sheffield) > School of Medicine and Population Health |
Funding Information: | Funder Grant number DEPARTMENT OF HEALTH AND SOCIAL CARE 41603 NIHR208114 |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 20 Mar 2025 08:22 |
Last Modified: | 20 Mar 2025 08:22 |
Status: | Published online |
Publisher: | Oxford University Press (OUP) |
Refereed: | Yes |
Identification Number: | 10.1093/ectj/utaf008 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:224655 |