Bayesian estimation of the functional spatial lag model

DOI10.1515/JTSE-2019-0047MaRDI QIDQ2019878zbMATH OpenOpenAlexFDO

Authors Alassane Aw, Emmanuel Nicolas Cabral

Publication date 22 April 2021

Published in Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.02739

zbMATH Keywords

functional data analysisBayesian estimationMCMC algorithmsspatial lag model

Mathematics Subject Classification ID

Bayesian inference (62F15) Directional data; spatial statistics (62H11) Applications of statistics to economics (62P20) Functional data analysis (62R10)

Abstract: The spatial lag model (SLM) has been widely studied in the literature for spatialised data modeling in various disciplines such as geography, economics, demography, regional sciences, etc. This is an extension of the classical linear model that takes into account the proximity of spatial units in modeling. The extension of the SLM model in the functional framework (the FSLM model) as well as its estimation by the truncated maximum likelihood technique have been proposed by cite{Ahmed}. In this paper, we propose a Bayesian estimation of the FSLM model. The Bayesian MCMC technique is used as estimation methods of the parameters of the model. A simulation study is conducted in order to compare the results of the Bayesian estimation method with the truncated maximum likelihood method. As an illustration, the proposed Bayesian method is used to establish a relationship between the unemployment rate and the curves of illiteracy rate observed in the 45 departments of Senegal.

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Cited in

(4)

• LARGE SAMPLE PROPERTIES OF BAYESIAN ESTIMATION OF SPATIAL ECONOMETRIC MODELS
• A Bayesian estimation method for the functional spatial error model
• Functional SAC model: with application to spatial econometrics
• Restricted estimation of distributed lag model from a Bayesian point of view

Describes a project that uses

Uses Software

• fda (R)
• Arc_Mat
• BayesDA
• orthogonalsplinebasis

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