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About predictions in spatial autoregressive models : Optimal and almost optimal strategies

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  • Thomas-Agnan, Christine
  • Laurent, Thibault
  • Goulard, Michel

Abstract

We address the problem of prediction in the spatial autoregressive SAR model for areal data which is classically used in spatial econometrics. With the Kriging theory, prediction using Best Linear Unbiased Predictors is at the heart of the geostatistical literature. From the methodological point of view, we explore the limits of the extension of BLUP formulas in the context of the spatial autoregressive SAR models for out-of-sample prediction simultaneously at several sites. We propose a more tractable \almost best" alternative and clarify the relationship between the BLUP and a proper EM-algorithm predictor. From an empirical perspective, we present data-based simulations to compare the efficiency of the classical formulas with the best and almost best predictions.

Suggested Citation

  • Thomas-Agnan, Christine & Laurent, Thibault & Goulard, Michel, 2013. "About predictions in spatial autoregressive models : Optimal and almost optimal strategies," TSE Working Papers 13-452, Toulouse School of Economics (TSE), revised Dec 2016.
  • Handle: RePEc:tse:wpaper:27788
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    Cited by:

    1. Doucet, Romain & Margaretic, Paula & Thomas-Agnan, Christine & Villotta, Quentin, 2014. "Spatial dependence in (origin-destination) air passenger flows," TSE Working Papers 14-494, Toulouse School of Economics (TSE).

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    Keywords

    Spatial simultaneous autoregressive models; out of sample prediction; best linear unbiased prediction;

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