Bayesian Inference in Spatial Sample Selection Models

Osman Dogan and Suleyman Taspinar

MPRA Paper from University Library of Munich, Germany

Abstract: In this study, we consider Bayesian methods for the estimation of a sample selection model with spatially correlated disturbance terms. We design a set of Markov chain Monte Carlo (MCMC) algorithms based on the method of data augmentation. The natural parameterization for the covariance structure of our model involves an unidentified parameter that complicates posterior analysis. The unidentified parameter -- the variance of the disturbance term in the selection equation -- is handled in different ways in these algorithms to achieve identification for other parameters. The Bayesian estimator based on these algorithms can account for the selection bias and the full covariance structure implied by the spatial correlation. We illustrate the implementation of these algorithms through a simulation study.

Keywords: Spatial dependence; Spatial sample selection model; Bayesian analysis; Data augmentation (search for similar items in EconPapers)
JEL-codes: C13 C21 C31 (search for similar items in EconPapers)
Date: 2016-12-16
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:82829

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