Quotation Pfarrhofer, Michael, Piribauer, Philipp. 2019. Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. Spatial Statistics. 29 109-128.


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Abstract

Several recent empirical studies, particularly in the regional economic growth literature, emphasize the importance of explicitly accounting for uncertainty surrounding model specification. Standard approaches to deal with the problem of model uncertainty involve the use of Bayesian model-averaging techniques. However, Bayesian model-averaging for spatial autoregressive models suffers from severe drawbacks both in terms of computational time and possible extensions to more flexible econometric frameworks. To alleviate these problems, this paper presents two global–local shrinkage priors in the context of high-dimensional matrix exponential spatial specifications. A simulation study is conducted to evaluate the performance of the shrinkage priors. Results suggest that they perform particularly well in high-dimensional environments, especially when the number of parameters to estimate exceeds the number of observations. Moreover, we use pan-European regional economic growth data to illustrate the performance of the proposed shrinkage priors.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Spatial Statistics
Language English
Title Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models
Volume 29
Year 2019
Page from 109
Page to 128
Reviewed? Y
URL https://www.sciencedirect.com/science/article/pii/S2211675318301076
DOI https://doi.org/10.1016/j.spasta.2018.10.004
Open Access Y
Open Access Link http://epub.wu.ac.at/id/eprint/6839

Associations

People
Pfarrhofer, Michael (Details)
Piribauer, Philipp (Former researcher)
Organization
Institute for Macroeconomics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
5323 Econometrics (Details)
5371 Macroeconomics (Details)
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