{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,22]],"date-time":"2026-09-22T18:41:59Z","timestamp":1790102519420,"version":"4.0.1"},"reference-count":86,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2015,6,14]],"date-time":"2015-06-14T00:00:00Z","timestamp":1434240000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"name":"ESRC Grant","award":["ES\/I031626\/1"],"award-info":[{"award-number":["ES\/I031626\/1"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2016,1]]},"abstract":"<jats:title>Summary<\/jats:title>\n                  <jats:p>An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect of common factors from that which is purely spatial even in an abstract sense. The same applies to the empirical analysis of networks in general. We use cross\u2010unit averages to extract common factors (viewed as a source of strong cross\u2010sectional dependence) and compare the results with the principal components approach widely used in the literature. We then apply multiple testing procedures to the de\u2010factored observations in order to determine significant bilateral correlations (signifying connections) between spatial units and compare this to an approach that just uses distance to determine units that are neighbours. We apply these methods to real house price changes at the level of Metropolitan Statistical Areas in the USA, and estimate a heterogeneous spatio\u2010temporal model for the de\u2010factored real house price changes and obtain significant evidence of spatial connections, both positive and negative. Copyright \u00a9 2015 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2468","type":"journal-article","created":{"date-parts":[[2015,6,15]],"date-time":"2015-06-15T00:07:58Z","timestamp":1434326878000},"page":"249-280","source":"Crossref","is-referenced-by-count":160,"title":["A Two\u2010Stage Approach to Spatio\u2010Temporal Analysis with Strong and Weak Cross\u2010Sectional Dependence"],"prefix":"10.1002","volume":"31","author":[{"given":"Natalia","family":"Bailey","sequence":"first","affiliation":[{"name":"School of Economics and Finance, Queen Mary University of London  UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Sean","family":"Holly","sequence":"additional","affiliation":[{"name":"Faculty of Economics University of Cambridge  UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"M. Hashem","family":"Pesaran","sequence":"additional","affiliation":[{"name":"Department of Economics University of Southern California  Los Angeles USA"},{"name":"Trinity College  Cambridge UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2015,6,14]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-015-7799-1"},{"key":"e_1_2_7_3_1","first-page":"310","volume-title":"A Companion to Theoretical Econometrics","author":"Anselin L","year":"2001"},{"key":"e_1_2_7_4_1","doi-asserted-by":"crossref","unstructured":"AquaroM BaileyN PesaranMH.2014.Quasi\u2010maximum likelihood estimation of spatial models with heterogeneous coefficients. QMUL working paper 749.","DOI":"10.2139\/ssrn.2623192"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00392"},{"key":"e_1_2_7_6_1","article-title":"Panel data models with grouped factor structure under unknown group membership","author":"Bai J","year":"2015","journal-title":"Journal of Applied Econometrics (forthcoming)"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2476"},{"key":"e_1_2_7_9_1","unstructured":"BaileyN PesaranHM SmithLV.2014.A multiple testing approach to the regularisation of sample correlation matrices CESifo working paper 4834."},{"key":"e_1_2_7_10_1","doi-asserted-by":"crossref","unstructured":"BarigozziM BrownleesC.2014.NETS: network estimation for time series. SSRN working paper. Available from:http:\/\/ssrn.com\/abstract=2249909orhttp:\/\/dx.doi.org\/10.2139\/ssrn.2249909[accessed on 10 May 2015].","DOI":"10.2139\/ssrn.2249909"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.01.007"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1080\/17421772.2012.722669"},{"key":"e_1_2_7_13_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/asr054"},{"key":"e_1_2_7_14_1","unstructured":"BonferroniC.1935.Il Calcolo delle Assicurazioni su Gruppi di Teste 13\u201360. Studi in Onore del Professore Salvatore Ortu Carboni Rome Italy."},{"key":"e_1_2_7_15_1","first-page":"3","article-title":"Teoria Statistica delle Classi e Calcolo delle Probabilit\u00e0","volume":"8","author":"Bonferroni C","year":"1936","journal-title":"Pubblicazioni del R Istituto Superiore di Scienze Economiche e Commerciali di Firenze"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"ButteAJ TamayoP SlonimD GolubTR KohaneIS.2000.Discovering functional relationships between RNA expression and chemotherapeutic susceptibility using relevance networks 12182\u201312186. Proceedings of the National Academy of Sciences USA 97:","DOI":"10.1073\/pnas.220392197"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465398557843"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0094-1190(03)00084-6"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.1162\/00346530152480090"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912276"},{"key":"e_1_2_7_21_1","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1093\/biomet\/asm007","article-title":"Estimation of a covariance matrix with zeros","volume":"94","author":"Chaudhuri S","journal-title":"Biometrika"},{"key":"e_1_2_7_22_1","volume-title":"The Oxford Handbook on Panel Data","author":"Chudik A","year":"2015"},{"key":"e_1_2_7_23_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00330.x"},{"key":"e_1_2_7_24_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(98)00084-0"},{"key":"e_1_2_7_25_1","doi-asserted-by":"publisher","DOI":"10.1086\/367681"},{"key":"e_1_2_7_26_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.736"},{"key":"e_1_2_7_27_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1993.tb04754.x"},{"key":"e_1_2_7_28_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9787.2011.00726.x"},{"key":"e_1_2_7_29_1","first-page":"13","article-title":"Does California drive the West? An econometric investigation of regional spillovers","volume":"2","author":"Cromwell B","year":"1992","journal-title":"Economic Review of the Federal Reserve Bank of San Francisco"},{"key":"e_1_2_7_30_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.932"},{"key":"e_1_2_7_31_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0022-1996(01)00127-1"},{"key":"e_1_2_7_32_1","doi-asserted-by":"publisher","DOI":"10.2307\/2528966"},{"key":"e_1_2_7_33_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511761362"},{"key":"e_1_2_7_34_1","doi-asserted-by":"crossref","first-page":"1113","DOI":"10.1017\/S0266466601176048","article-title":"The generalised dynamic factor model: representation theory","volume":"17","author":"Forni M","year":"2001","journal-title":"Econometric Theory"},{"key":"e_1_2_7_35_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00053"},{"key":"e_1_2_7_36_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300559037"},{"key":"e_1_2_7_37_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.47.4.983"},{"key":"e_1_2_7_38_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jue.2008.07.007"},{"key":"e_1_2_7_39_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11146-008-9163-x"},{"key":"e_1_2_7_40_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11146-010-9234-7"},{"issue":"2","key":"e_1_2_7_41_1","doi-asserted-by":"crossref","first-page":"161","DOI":"10.1080\/10835547.2011.12092042","article-title":"Using large data sets to forecast housing prices: a case study of twenty US states","volume":"20","author":"Gupta R","year":"2011","journal-title":"Journal of Housing Research"},{"key":"e_1_2_7_42_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.econmod.2011.04.005"},{"key":"e_1_2_7_43_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.4.800"},{"key":"e_1_2_7_44_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00253"},{"key":"e_1_2_7_45_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.040"},{"key":"e_1_2_7_46_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jue.2010.08.002"},{"issue":"2","key":"e_1_2_7_47_1","first-page":"65","article-title":"A simple sequentially rejective multiple test procedure","volume":"6","author":"Holm S","year":"1979","journal-title":"Scandinavian Journal of Statistics"},{"key":"e_1_2_7_48_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/75.2.383"},{"key":"e_1_2_7_49_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/76.3.624"},{"key":"e_1_2_7_50_1","doi-asserted-by":"publisher","DOI":"10.1037\/h0071325"},{"key":"e_1_2_7_51_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-75892-1_6"},{"key":"e_1_2_7_52_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11146-007-9094-y"},{"key":"e_1_2_7_53_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511493157.013"},{"key":"e_1_2_7_54_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.004"},{"key":"e_1_2_7_55_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-2354.00027"},{"key":"e_1_2_7_56_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.09.005"},{"key":"e_1_2_7_57_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.10.025"},{"key":"e_1_2_7_58_1","doi-asserted-by":"publisher","DOI":"10.1214\/10-AOS841"},{"key":"e_1_2_7_59_1","doi-asserted-by":"publisher","DOI":"10.1086\/261763"},{"key":"e_1_2_7_60_1","doi-asserted-by":"publisher","DOI":"10.1080\/00343400903497897"},{"key":"e_1_2_7_61_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466602182028"},{"key":"e_1_2_7_62_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2004.00558.x"},{"key":"e_1_2_7_63_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.08.001"},{"key":"e_1_2_7_64_1","volume-title":"Introduction to Spatial Econometrics","author":"LeSage J","year":"2010"},{"key":"e_1_2_7_65_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.10.035"},{"key":"e_1_2_7_66_1","doi-asserted-by":"publisher","DOI":"10.1214\/009053606000000281"},{"key":"e_1_2_7_67_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465305775098198"},{"key":"e_1_2_7_68_1","doi-asserted-by":"publisher","DOI":"10.1093\/oep\/gpi022"},{"key":"e_1_2_7_69_1","doi-asserted-by":"publisher","DOI":"10.1080\/14786440009463897"},{"key":"e_1_2_7_70_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2009.0126"},{"key":"e_1_2_7_71_1","doi-asserted-by":"crossref","unstructured":"PesaranMH.2004.General diagnostic tests for cross section dependence in panels CESifo working paper series 1229. Available from:http:\/\/ssrn.com\/abstract=572504[accessed on 10 May 1015].","DOI":"10.2139\/ssrn.572504"},{"key":"e_1_2_7_72_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00692.x"},{"key":"e_1_2_7_73_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2014.956623"},{"key":"e_1_2_7_74_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01644-F"},{"key":"e_1_2_7_75_1","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2009.0113"},{"key":"e_1_2_7_76_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000019"},{"issue":"1","key":"e_1_2_7_77_1","first-page":"107","article-title":"Housing price diffusion patterns at different aggregation levels: an examination of housing market efficiency","volume":"8","author":"Pollakowski HO","year":"1997","journal-title":"Journal of Housing Research"},{"issue":"2","key":"e_1_2_7_78_1","first-page":"33","article-title":"Forecasting real housing price growth in the eighth district states","volume":"3","author":"Rapach DE","year":"2007","journal-title":"Federal Reserve Bank of St Louis: Regional Economic Development"},{"key":"e_1_2_7_79_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2009.01.009"},{"key":"e_1_2_7_80_1","doi-asserted-by":"publisher","DOI":"10.1214\/08-EJS176"},{"key":"e_1_2_7_81_1","doi-asserted-by":"publisher","DOI":"10.1198\/jcgs.2010.09188"},{"key":"e_1_2_7_82_1","unstructured":"StockJH WatsonMW.1998.Diffusion indexes NBER working paper 6702 National Bureau of Economic Research."},{"key":"e_1_2_7_83_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214502388618960"},{"key":"e_1_2_7_84_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102317351921"},{"key":"e_1_2_7_85_1","doi-asserted-by":"publisher","DOI":"10.2307\/2983570"},{"key":"e_1_2_7_86_1","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/41.3-4.434"},{"key":"e_1_2_7_87_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.002"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2468","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2468","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,13]],"date-time":"2023-09-13T11:29:06Z","timestamp":1694604546000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2468"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,6,14]]},"references-count":86,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2016,1]]}},"alternative-id":["10.1002\/jae.2468"],"URL":"https:\/\/doi.org\/10.1002\/jae.2468","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2015,6,14]]}}}