The interplay between the Bayesian and frequentist approaches: a general nesting spatial panel data model

Andrés Ramírez Hassan

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3 Citations (Scopus)

Abstract

The interplay between the Bayesian and Frequentist approaches: a general nesting spatial panel-data model. Spatial Economic Analysis. An econometric framework mixing the Frequentist and Bayesian approaches is proposed in order to estimate a general nesting spatial model. First, it avoids specific dependency structures between unobserved heterogeneity and regressors, which improves mixing properties of Markov chain Monte Carlo (MCMC) procedures in the presence of unobserved heterogeneity. Second, it allows model selection based on a strong statistical framework, characteristics that are not easily introduced using a Frequentist approach. We perform some simulation exercises, finding good performance of the properties of our approach, and apply the methodology to analyse the relation between productivity and public investment in the United States.

Original languageEnglish
Pages (from-to)92-112
Number of pages21
JournalSpatial Economic Analysis
Volume12
Issue number1
DOIs
Publication statusPublished - 2 Jan 2017
Externally publishedYes

Keywords

  • Bayesian econometrics
  • general nesting spatial model
  • model selection
  • spatial econometrics

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