Using spatial contiguity as prior information in vector autoregressive models

DOI10.1016/0165-1765(94)00536-BMaRDI QIDQ674072zbMATH OpenFDO

Authors Zheng Pan, James P. Lesage

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

vector autoregressive modelsspatial contiguity information

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Bayesian Econometrics
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Cites work

• Forecasting and conditional projection using realistic prior distributions

Cited in

(4)

• Forecasting regional house price inflation: a comparison between dynamic factor models and vector autoregressive models
• Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages
• How helpful are spatial effects in forecasting the growth of Chinese provinces?
• Bayesian variable selection in a large vector autoregression for origin-destination traffic flow modelling

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