Misspecification of Spatial Effects in the Bayesian Spatial Autoregressive Model. The Results from the Monte Carlo Simulation

The aim of this paper is to analyze the impact of the SAR model misspecification. We concentrate on the effect of ignoring random effects (both independent and spatially correlated) in the SAR model. The results from the Monte Carlo simulation suggests the overestimation of the spatial parameter and error variance if the random effects are omitted in the SAR model.

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Year of publication:	2014
Authors:	Laszkiewicz, Edyta
Published in:	Acta Universitatis Nicolai Copernici, Ekonomia. - Uniwersytet Mikolaja Kopernika. - Vol. 45.2014, 2, p. 219-234
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	spatial autoregressive model \| Bayesian MCMC \| Monte Carlo simulation

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Extent:	application/pdf
Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C21 - Cross-Sectional Models; Spatial Models ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011271649