Arbeitspapier
Multivariate spatial regression models
This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the seemingly unrelated regression and vector autoregressive models are addressed and extended to accommodate for spatial dependence. Inference procedures are based on a variety of simulation-based schemes designed to obtain samples from the posterior distribution of model parameters. They are also used to provide a basis to forecast new observations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 116
- Klassifikation
-
Wirtschaft
- Thema
-
Bayesian
Gibbs sampling
Hyperparameters
Markov chain Monte Carlo
Metropolis-Hastings algorithm
Vector autoregressive models
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gamerman, Dani
Moreira, Ajax Reynaldo Bello
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Applied Economic Research (ipea)
- (wo)
-
Brasília
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gamerman, Dani
- Moreira, Ajax Reynaldo Bello
- Institute for Applied Economic Research (ipea)
Entstanden
- 2015
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