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

Author

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  • Edyta Laszkiewicz

    (University of Lodz)

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.

Suggested Citation

  • Edyta Laszkiewicz, 2014. "Misspecification of Spatial Effects in the Bayesian Spatial Autoregressive Model. The Results from the Monte Carlo Simulation," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 45(2), pages 219-234.
    • Handle: RePEc:cpn:umkanc:2014:p:219-234
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    More about this item

    Keywords

    spatial autoregressive model; Bayesian MCMC; Monte Carlo simulation;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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