Spatial Econometric Panel Data Model Specification: A Bayesian Approach

Taking a Bayesian perspective on model uncertainty for static panel data models proposed in the spatial econometrics literature considerably simplifies the task of selecting an appropriate model. A wide variety of alternative specifications that include various combinations spatial dependence in lagged values of the dependent variable, spatial lags of the explanatory variables, as well as dependence in the model disturbances have been the focus of a literature on various statistical tests for distinguishing between these numerous specifications.

[1]  J. Paul Elhorst,et al.  Applied Spatial Econometrics: Raising the Bar , 2010 .

[2]  Arnold Zellner,et al.  An Introduction to Bayesian Inference in Econometrics. , 1974 .

[3]  James P. LeSage,et al.  Spatial Dependence in Regressors and its Effect on Performance of Likelihood-Based and Instrumental Variable Estimators , 2012 .

[4]  S. Chib,et al.  Marginal Likelihood From the Metropolis–Hastings Output , 2001 .

[5]  M. Steel,et al.  Benchmark Priors for Bayesian Model Averaging , 2001 .

[6]  Lung-fei Lee,et al.  Bayesian estimation and model selection for spatial Durbin error model with finite distributed lags , 2013 .

[7]  James P. LeSage,et al.  A Space-Time Filter for Panel Data Models Containing Random Effects , 2009, Comput. Stat. Data Anal..

[8]  P. Burridge,et al.  Testing for a Common Factor in a Spatial Autoregression Model , 1981 .

[9]  Lung-fei Lee,et al.  Some recent developments in spatial panel data models , 2010 .

[10]  Ronald P. Barry,et al.  Monte Carlo estimates of the log determinant of large sparse matrices , 1999 .

[11]  Olivier Parent,et al.  Spatial Dynamic Panel Data Models with Random Effects , 2009 .

[12]  James P. LeSage,et al.  A spatial dynamic panel model with random effects applied to commuting times , 2010 .

[13]  J. Paul Elhorst,et al.  Matlab Software for Spatial Panels , 2014 .

[14]  Anil K. Bera,et al.  Simple diagnostic tests for spatial dependence , 1996 .

[15]  Ronald P. Barry,et al.  Quick Computation of Spatial Autoregressive Estimators , 2010 .

[16]  J. LeSage.  Introduction to spatial econometrics , 2009 .

[17]  Lung-fei Lee,et al.  Estimation of spatial autoregressive panel data models with fixed effects , 2010 .