Summary. Modelling of spatiotemporal processes has received considerable attention in recent statistical research. However, owing to the high dimensionality of the data, the joint modelling of spatial and temporal processes presents a great computational challenge, in both
likelihood‐based and Bayesian approaches. We propose a joint composite estimating function approach to estimating spatiotemporal covariance structures. This substantially reduces the computational complexity and is more efficient than existing composite likelihood methods. The novelty
of the proposed joint composite estimating function is rooted in the construction of three sets of estimating functions from spatial, temporal and spatiotemporal cross‐pairs, which results in overidentified estimating functions. Thus, we form a joint inference function in a spirit that
is similar to Hansen's generalized method of moments. We show that under practical scenarios the estimator proposed is consistent and asymptotically normal. Simulation studies prove that our method performs well in finite samples. Finally, we illustrate the joint composite estimating function
method by estimating the spatiotemporal dependence structure of airborne particulates (PM10) in the north‐eastern USA over a 32‐month period.