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Generalized Bayes Estimation Of Spatial Autoregressive Models

Author

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  • Chaturvedi Anoop

    (Department of Statistics, University of Allahabad, Allahabad, 211002, India .)

  • Mishra Sandeep

    (Department of Statistics, University of Allahabad, Allahabad, 211002, India .)

Abstract

The spatial autoregressive (SAR) models are widely used in spatial econometrics for analyzing spatial data involving spatial autocorrelation structure. The present paper derives a Generalized Bayes estimator for estimating the parameters of a SAR model. The admissibility and minimaxity properties of the estimator have been discussed. For investigating the finite sample behaviour of the estimator, the results of a simulation study have been presented. The results of the paper are applied to demographic data on total fertility rate for selected Indian states.

Suggested Citation

  • Chaturvedi Anoop & Mishra Sandeep, 2019. "Generalized Bayes Estimation Of Spatial Autoregressive Models," Statistics in Transition New Series, Polish Statistical Association, vol. 20(2), pages 15-32, June.
    • Handle: RePEc:vrs:stintr:v:20:y:2019:i:2:p:15-32:n:8
    DOI: 10.21307/stattrans-2019-012
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    References listed on IDEAS

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    1. Maruyama, Yuzo, 1998. "A Unified and Broadened Class of Admissible Minimax Estimators of a Multivariate Normal Mean," Journal of Multivariate Analysis, Elsevier, vol. 64(2), pages 196-205, February.
    2. Kubokawa, Tatsuya, 1991. "An approach to improving the James-Stein estimator," Journal of Multivariate Analysis, Elsevier, vol. 36(1), pages 121-126, January.
    3. Luc Anselin & Sergio J. Rey, 2010. "Perspectives on Spatial Data Analysis," Advances in Spatial Science, in: Luc Anselin & Sergio J. Rey (ed.), Perspectives on Spatial Data Analysis, chapter 0, pages 1-20, Springer.
    4. Pal, Amresh Bahadur & Dubey, Ashutosh Kumar & Chaturvedi, Anoop, 2016. "Shrinkage estimation in spatial autoregressive model," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 362-373.
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    Cited by:

    1. Anoop Chaturvedi & Shalabh & Sandeep Mishra, 2021. "Generalized Bayes Estimator for Spatial Durbin Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 267-285, December.

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