IDEAS home Printed from https://ideas.repec.org/a/sbe/breart/v38y2019i2a74235.html
   My bibliography  Save this article

Multivariate Spatial IV Regression

Author

Listed:
  • Nascimento, Marcus Gerardus Lavagnole
  • Abanto-Valle, Carlos Antonio
  • Mendonça, Mario Jorge

Abstract

In this paper, a Multivariate Spatial Regression model with Endogenous Variables is proposed. In order to deal with endogeneity and spatial dependence, the instrumental variables (IV) methodology and an autoregressive spatial structure, frequently used in econometric applications, are implemented. A Bayesian inference procedure based on simulation schemes designed to obtain samples from the posterior distribution of model parameters is developed. Finally, the methodology is illustrated through an application to the impact of broadband access on the economic sectors.

Suggested Citation

  • Nascimento, Marcus Gerardus Lavagnole & Abanto-Valle, Carlos Antonio & Mendonça, Mario Jorge, 2019. "Multivariate Spatial IV Regression," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2), January.
  • Handle: RePEc:sbe:breart:v:38:y:2019:i:2:a:74235
    as

    Download full text from publisher

    File URL: https://periodicos.fgv.br/bre/article/view/74235
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.
    2. Zellner, Arnold & Bauwens, Luc & Van Dijk, Herman K., 1988. "Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 39-72.
    3. Zellner, Arnold, 1988. "Bayesian analysis in econometrics," Journal of Econometrics, Elsevier, vol. 37(1), pages 27-50, January.
    4. Gary Chamberlain, 2008. "Comment on "Decision Theory Applied to an Instrumental Variables Model"," Econometrica, Econometric Society, vol. 76(6), pages 1565-1565, November.
    5. Hedibert F. Lopes & Nicholas G. Polson, 2014. "Bayesian Instrumental Variables: Priors and Likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 100-121, June.
    6. Conley, Timothy G. & Hansen, Christian B. & McCulloch, Robert E. & Rossi, Peter E., 2008. "A semi-parametric Bayesian approach to the instrumental variable problem," Journal of Econometrics, Elsevier, vol. 144(1), pages 276-305, May.
    7. Nina Czernich & Oliver Falck & Tobias Kretschmer & Ludger Woessmann, 2011. "Broadband Infrastructure and Economic Growth," Economic Journal, Royal Economic Society, vol. 121(552), pages 505-532, May.
    8. Koutroumpis, Pantelis, 2009. "The economic impact of broadband on growth: A simultaneous approach," Telecommunications Policy, Elsevier, vol. 33(9), pages 471-485, October.
    9. Gary Chamberlain, 2007. "Decision Theory Applied to an Instrumental Variables Model," Econometrica, Econometric Society, vol. 75(3), pages 609-652, May.
    10. Gamerman, Dani & Moreira, Ajax R. B., 2004. "Multivariate spatial regression models," Journal of Multivariate Analysis, Elsevier, vol. 91(2), pages 262-281, November.
    11. Dana Kelly & Curtis Smith, 2011. "Bayesian Regression Models," Springer Series in Reliability Engineering, in: Bayesian Inference for Probabilistic Risk Assessment, chapter 0, pages 141-163, Springer.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Nascimento, Marcus Gerardus Lavagnole & Abanto-Valle, Carlos Antonio & Mendonça, Mario Jorge, 2018. "Multivariate Spatial IV Regression," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(2).
    2. Marcus L. Nascimento & Kelly C. M. Gonçalves & Mario Jorge Mendonça, 2023. "Spatio-Temporal Instrumental Variables Regression with Missing Data: A Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 29-47, June.
    3. Chuanming Gao & Kajal Lahiri, 2019. "A Comparison of Some Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometrics, MDPI, vol. 7(3), pages 1-28, July.
    4. Mário Jorge Mendonça & Paulo R. A. Loureiro & Antônio Nascimento & Roberto Ellery, 2021. "Assessment of the effect of broadband expansion on the economy reviewed," Review of Development Economics, Wiley Blackwell, vol. 25(4), pages 2414-2432, November.
    5. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society.
    6. Arnold Zellner & Tomohiro Ando & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2011. "Instrumental Variables, Errors in Variables, and Simultaneous Equations Models: Applicability and Limitations of Direct Monte Carlo," Tinbergen Institute Discussion Papers 11-137/4, Tinbergen Institute.
    7. Radchenko, Stanislav & Tsurumi, Hiroki, 2006. "Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the U.S. gasoline market," Journal of Econometrics, Elsevier, vol. 133(1), pages 31-49, July.
    8. Frühwirth-Schnatter, Sylvia & Halla, Martin & Posekany, Alexandra & Pruckner, Gerald J. & Schober, Thomas, 2014. "The Quantity and Quality of Children: A Semi-Parametric Bayesian IV Approach," IZA Discussion Papers 8024, Institute of Labor Economics (IZA).
    9. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
    10. Halla, Martin & Zweimüller, Martina, 2014. "Parental Response to Early Human Capital Shocks: Evidence from the Chernobyl Accident," IZA Discussion Papers 7968, Institute of Labor Economics (IZA).
    11. Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
    12. Dyevre, Arthur & Lampach, Nicolas, 2018. "The origins of regional integration: Untangling the effect of trade on judicial cooperation," International Review of Law and Economics, Elsevier, vol. 56(C), pages 122-133.
    13. van Dijk, H.K., 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Research Papers EI 2002-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    14. Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2013. "Historical Developments in Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 13-191/III, Tinbergen Institute.
    15. Ren, Siyu & Hao, Yu & Xu, Lu & Wu, Haitao & Ba, Ning, 2021. "Digitalization and energy: How does internet development affect China's energy consumption?," Energy Economics, Elsevier, vol. 98(C).
    16. Espinoza, Héctor & Kling, Gerhard & McGroarty, Frank & O'Mahony, Mary & Ziouvelou, Xenia, 2020. "Estimating the impact of the Internet of Things on productivity in Europe," LSE Research Online Documents on Economics 116391, London School of Economics and Political Science, LSE Library.
    17. Abdulqadir, Idris A. & Asongu, Simplice A., 2022. "The asymmetric effect of internet access on economic growth in sub-Saharan Africa," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 44-61.
    18. Steel, Mark F. J., 1991. "A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 83-117.
    19. George Charalampopoulos & Dimitris Katsianis & Dimitris Varoutas, 2022. "Economic replicability tests: an “out-of-the-box” implementation," Netnomics, Springer, vol. 22(2), pages 115-138, October.
    20. Finagnon Antoine Dedewanou & Rolande C. B. Kpekou Tossou, 2022. "Remittances and agricultural productivity in Burkina Faso," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 44(3), pages 1573-1590, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sbe:breart:v:38:y:2019:i:2:a:74235. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/sbeeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.