Bayesian Variable Selection in Spatial Autoregressive Models

Jesus Crespo Cuaresma and Philipp Piribauer ()

No 199, Department of Economics Working Paper Series from WU Vienna University of Economics and Business

Abstract: This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging techniques both in terms of in-sample predictive performance and computational efficiency.

Keywords: spatial autoregressive model; variable selection; model uncertainty; Markov chain Monte Carlo methods (search for similar items in EconPapers)
Date: 2015-07
New Economics Papers: this item is included in nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://epub.wu.ac.at/4584/ original version (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://epub.wu.ac.at/4584/ [308 PERMANENT REDIRECT]--> https://epub.wu.ac.at/id/eprint/4584 [302 FOUND]--> https://research.wu.ac.at/en/publications/aa3effd2-1312-4f27-bee3-5e8e74f45f99)

Related works:
Journal Article: Bayesian Variable Selection in Spatial Autoregressive Models (2016)
Working Paper: Bayesian Variable Selection in Spatial Autoregressive Models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wiw:wus005:4584

Access Statistics for this paper

More papers in Department of Economics Working Paper Series from WU Vienna University of Economics and Business Welthandelsplatz 1, 1020 Vienna, Austria.
Bibliographic data for series maintained by WU Library ().