Misspecification of Spatial Effects in the Bayesian Spatial Autoregressive Model. The Results from the Monte Carlo Simulation

Edyta Laszkiewicz ()

Acta Universitatis Nicolai Copernici, Ekonomia, 2014, vol. 45, issue 2, 219-234

Abstract: The aim of this paper is to analyze the impact of the SAR model misspecification. We concentrate on the effect of ignoring random effects (both independent and spatially correlated) in the SAR model. The results from the Monte Carlo simulation suggests the overestimation of the spatial parameter and error variance if the random effects are omitted in the SAR model.

Keywords: spatial autoregressive model; Bayesian MCMC; Monte Carlo simulation (search for similar items in EconPapers)
JEL-codes: C11 C21 C63 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2014:p:219-234

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