Bayesian estimation and model selection of threshold spatial Durbin model

DOI10.1016/J.ECONLET.2020.108956MaRDI QIDQ2300366zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 27 February 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.108956

zbMATH Keywords

Bayes factorSavage-Dickey density ratioBayesian estimationthreshold spatial Durbin model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

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Cites work

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• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• Bayes Factors
• Comparing Objective and Subjective Bayes Factors for the Two-Sample Comparison: The Classification Theorem in Action
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Estimation for the spatial autoregressive threshold model
• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• INSTRUMENTAL VARIABLE ESTIMATION OF A THRESHOLD MODEL
• Introduction to spatial econometrics.
• Marginal Likelihood From the Metropolis–Hastings Output
• Matrix Analysis
• Sample Splitting and Threshold Estimation
• Self-Selectivity in Firm’s Decision to Withdraw IPO: Bayesian Inference for Hazard Models of Bankruptcy With Feedback
• Smoking initiation: peers and personality
• Specification and estimation of social interaction models with network structures
• Threshold variable determination and threshold variable driven switching autoregressive mod\-els

Cited in

(6)

• Small sample properties and model choice in spatial models: a Bayesian approach
• Bayesian model selection in spatial lattice models
• scientific article; zbMATH DE number 2222810 (Why is no real title available?)
• Robust Bayesian inference in STAR models with neighbourhood effects
• Panel threshold spatial Durbin models with individual fixed effects
• Estimation for the spatial autoregressive threshold model

Describes a project that uses

Uses Software

• Arc_Mat

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