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Multivariate spatial regression models

Author

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  • Gamerman, Dani
  • Moreira, Ajax R. B.

Abstract

This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric models. These models have a spatial component built into commonly used multivariate models. In particular, the common component models are addressed and extended to accommodate for spatial dependence. Inference procedures are based on a variety of simulation-based schemes designed to obtain samples from the posterior distribution of model parameters. They are also used to provide a basis to forecast new observations.

Suggested Citation

  • Gamerman, Dani & Moreira, Ajax R. B., 2004. "Multivariate spatial regression models," Journal of Multivariate Analysis, Elsevier, vol. 91(2), pages 262-281, November.
  • Handle: RePEc:eee:jmvana:v:91:y:2004:i:2:p:262-281
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    References listed on IDEAS

    as
    1. Smith, Michael & Kohn, Robert, 2000. "Nonparametric seemingly unrelated regression," Journal of Econometrics, Elsevier, vol. 98(2), pages 257-281, October.
    2. P. Damlen & J. Wakefield & S. Walker, 1999. "Gibbs sampling for Bayesian non-conjugate and hierarchical models by using auxiliary variables," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 331-344.
    3. Pace, R. Kelley & Barry, Ronald & Gilley, Otis W. & Sirmans, C. F., 2000. "A method for spatial-temporal forecasting with an application to real estate prices," International Journal of Forecasting, Elsevier, vol. 16(2), pages 229-246.
    4. Mardia, K. V., 1988. "Multi-dimensional multivariate Gaussian Markov random fields with application to image processing," Journal of Multivariate Analysis, Elsevier, vol. 24(2), pages 265-284, February.
    5. Ludwig Fahrmeir & Stefan Lang, 2001. "Bayesian inference for generalized additive mixed models based on Markov random field priors," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 50(2), pages 201-220.
    6. Caves, Douglas W & Christensen, Laurits R & Diewert, W Erwin, 1982. "Multilateral Comparisons of Output, Input, and Productivity Using Superlative Index Numbers," Economic Journal, Royal Economic Society, vol. 92(365), pages 73-86, March.
    7. Julian Besag & Jeremy York & Annie Mollié, 1991. "Bayesian image restoration, with two applications in spatial statistics," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 43(1), pages 1-20, March.
    8. Gamerman, Dani & Moreira, Ajax R. B. & Rue, Havard, 2003. "Space-varying regression models: specifications and simulation," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 513-533, March.
    9. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika van der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639.
    10. repec:sbe:breart:v:17:y:1997:i:1:a:2868 is not listed on IDEAS
    11. Ludwig Fahrmeir & Stefan Lang, 2001. "Bayesian Semiparametric Regression Analysis of Multicategorical Time-Space Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 11-30, March.
    12. X. Lin & D. Zhang, 1999. "Inference in generalized additive mixed modelsby using smoothing splines," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(2), pages 381-400.
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    Cited by:

    1. Mkondiwa, Maxwell Gibson, 2015. "Whither Broad or Spatially Specific Fertilizer Recommendations?," Master's Theses 237344, University of Minnesota, Department of Applied Economics.
    2. Alexandra Schmidt & Ajax Moreira & Steven Helfand & Thais Fonseca, 2009. "Spatial stochastic frontier models: accounting for unobserved local determinants of inefficiency," Journal of Productivity Analysis, Springer, vol. 31(2), pages 101-112, April.
    3. repec:spr:lsprsc:v:11:y:2018:i:1:d:10.1007_s12076-017-0199-5 is not listed on IDEAS

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