Space - Time Lags : Specification Strategy in Spatial Regression Models

The purpose of this article is to analyze the dynamic trend of spatial dependence, which is not only contemporary but time-lagged in many socio-economic phenomena. Firstly, we show some of the commonly used exploratory spatial data analysis (ESDA) techniques and we propose other new ones, the exploratory space-time data analysis (ESTDA) that evaluates the instantaneity of spatial dependence. We also propose the space-time correlogram as an instrument for a better specification of spatial lag models, which should include both kind of spatial dependence. Some applications with economic data for Spanish provinces shed some light upon these issues.