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.
- Language
-
Englisch
- Bibliographic citation
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Series: Discussion Paper ; No. 116
- Classification
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Wirtschaft
- Subject
-
Bayesian
Gibbs sampling
Hyperparameters
Markov chain Monte Carlo
Metropolis-Hastings algorithm
Vector autoregressive models
- Event
-
Geistige Schöpfung
- (who)
-
Gamerman, Dani
Moreira, Ajax Reynaldo Bello
- Event
-
Veröffentlichung
- (who)
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Institute for Applied Economic Research (ipea)
- (where)
-
Brasília
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Gamerman, Dani
- Moreira, Ajax Reynaldo Bello
- Institute for Applied Economic Research (ipea)
Time of origin
- 2015
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