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作者

来源

REGIONAL SCIENCE AND URBAN ECONOMICS,Vol.63,P.97-120

语言

英文

关键字

Higher-order spatial autoregressive model; Exchange algorithm; Bayesian estimation; Bayes factor; Savage-Dickey density ratio; DYNAMIC PANEL-DATA; MARGINAL LIKELIHOOD; LOG DETERMINANT; GMM ESTIMATION; LINEAR-MODEL; TIME-SERIES; MATRICES; SPECIFICATION; PA

作者单位

[Han, Xiaoyi] Xiamen Univ, MOE Key Lab Econometr, Dept Publ Econ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Peoples R China. [Han, Xiaoyi] Xiamen Univ, Fujian Key Lab Stat Sci, Xiamen 361005, Peoples R China. [Lee, Lung-fei] Chinese Univ Hong Kong, Dept Econ, 9-F,Esther Lee Bldg, Shatin, Hong Kong, Peoples R China. [Hsieh, Chih-Sheng] Ohio State Univ, Dept Econ, 1945 N High St, Columbus, OH 43210 USA. Han, XY (reprint author), Xiamen Univ, MOE Key Lab Econometr, Dept Publ Econ, Wang Yanan Inst Studies Econ WISE, Xiamen 361005, Peoples R China.; Han, XY (reprint author), Xiamen Univ, Fujian Key Lab Stat Sci, Xiamen 361005, Peoples R China. E-Mail: han.293@osu.edu; cshsieh@cuhk.edu.hk; lee.1777@osu.edu

摘要

In this paper we consider estimation and model selection of higher-order spatial autoregressive model by an efficient Bayesian approach. Based upon the exchange algorithm, we develop an efficient MCMC sampler, which does not rely on special features of spatial weights matrices and does not require the evaluation of the Jacobian determinant in the likelihood function. We also propose a computationally simple procedure to tackle nested model selection issues of higher-order spatial autoregressive models. We find that the exchange algorithm can be utilized to simplify the computation of Bayes factor through the Savage-Dickey density ratio. We apply the efficient estimation algorithm and the model selection procedure to study the "tournament competition" across Chinese cities and the spatial dependence of county-level voter participation rates in the 1980 U.S. presidential election.