Spatial heterogeneity and spatial dependence are two cornerstones of spatial data research. It becomes more and more important to simultaneously deal with them in analyzing today’s complex spatial datasets. Along this direction, we introduce a new class of geographically weighted regression models, called unified geographically weighted regression (UGWR) models, to generalize existing geographically weighted regression models. In UGWR, the regression coefficients of all covariates can vary over the space. Moreover, the dependent variable and the disturbance are considered to be spatial autoregressive, and their spatial autoregression coefficients can also vary over the space. We propose a reconstruction parameterization approach to estimate these varying coefficients. This approach can flexibly use different bandwidths to fit various smoothness degrees of the coefficients. Based on the estimators, we also provide prediction, hypothesis testing, and model selection methods under UGWR. Simulation results indicate that the UGWR model can better fit complex datasets than existing geographically weighted regression models. An empirical study on a China’s regional GDP dataset also shows the effectiveness of the proposed methods.
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