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Estimating Binary Spatial Autoregressive Models for Rare Events

In: Spatial Econometrics: Qualitative and Limited Dependent Variables

Author

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  • Raffaella Calabrese
  • Johan A. Elkink

Abstract

The most used spatial regression models for binary-dependent variable consider a symmetric link function, such as the logistic or the probit models. When the dependent variable represents a rare event, a symmetric link function can underestimate the probability that the rare event occurs. Following Calabrese and Osmetti (2013), we suggest the quantile function of the generalized extreme value (GEV) distribution as link function in a spatial generalized linear model and we call this model the spatial GEV (SGEV) regression model. To estimate the parameters of such model, a modified version of the Gibbs sampling method of Wang and Dey (2010) is proposed. We analyze the performance of our model by Monte Carlo simulations and evaluate the prediction accuracy in empirical data on state failure.

Suggested Citation

  • Raffaella Calabrese & Johan A. Elkink, 2016. "Estimating Binary Spatial Autoregressive Models for Rare Events," Advances in Econometrics, in: Spatial Econometrics: Qualitative and Limited Dependent Variables, volume 37, pages 145-166, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-905320160000037012
    DOI: 10.1108/S0731-905320160000037012
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    Citations

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    Cited by:

    1. Cécile Hardouin & Noel Cressie, 2018. "Two-scale spatial models for binary data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(1), pages 1-24, March.
    2. Calabrese, Raffaella & Crook, Jonathan, 2020. "Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients," European Journal of Operational Research, Elsevier, vol. 287(2), pages 749-761.
    3. Raffaella Calabrese & Johan A. Elkink & Paolo S. Giudici, 2017. "Measuring bank contagion in Europe using binary spatial regression models," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1503-1511, December.

    More about this item

    Keywords

    Rare events; spatial econometrics; probit; GEV; C21; C25;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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