Modified harmonic mean method for spatial autoregressive models

Osman Doğan

doi:10.1016/j.econlet.2023.110978

Modified harmonic mean method for spatial autoregressive models

Osman Doğan

Ekonomi Bölümü

Araştırma sonucu: Dergiye katkı › Makale › bilirkişi

3 Atıf (Scopus)

Özet

In this paper, I suggest using the modified harmonic mean method for estimating marginal likelihood functions of cross-sectional spatial autoregressive models. In a Bayesian estimation setting, I show how this method can be used for popular cross-sectional spatial autoregressive models. In a simulation study, I investigate the finite sample performance of this estimator along with some other popular information criteria for the nested and non-nested model selection problems. The simulation results show that the modified harmonic mean estimator performs satisfactorily, and can be useful for the specification search exercises in spatial econometrics.

Orijinal dil	İngilizce
Makale numarası	110978
Dergi	Economics Letters
Hacim	223
DOI'lar	https://doi.org/10.1016/j.econlet.2023.110978
Yayın durumu	Yayınlandı - Şub 2023

Bibliyografik not

Publisher Copyright:
© 2023 Elsevier B.V.

Finansman

I would like to thank the editor, an anonymous referee, Süleyman Taşpınar and Ye Yang for their helpful comments on an earlier version of the article.

Belgeye Erişim

10.1016/j.econlet.2023.110978

Diğer Dosyalar ve Linkler

Link to publication in Scopus

Alıntı Yap

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title = "Modified harmonic mean method for spatial autoregressive models",

abstract = "In this paper, I suggest using the modified harmonic mean method for estimating marginal likelihood functions of cross-sectional spatial autoregressive models. In a Bayesian estimation setting, I show how this method can be used for popular cross-sectional spatial autoregressive models. In a simulation study, I investigate the finite sample performance of this estimator along with some other popular information criteria for the nested and non-nested model selection problems. The simulation results show that the modified harmonic mean estimator performs satisfactorily, and can be useful for the specification search exercises in spatial econometrics.",

keywords = "AIC, BIC, DIC, Marginal likelihood, Model selection, Modified harmonic mean, SAR",

author = "Osman Doğan",

note = "Publisher Copyright: {\textcopyright} 2023 Elsevier B.V.",

year = "2023",

month = feb,

doi = "10.1016/j.econlet.2023.110978",

language = "English",

volume = "223",

journal = "Economics Letters",

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T1 - Modified harmonic mean method for spatial autoregressive models

AU - Doğan, Osman

PY - 2023/2

Y1 - 2023/2

N2 - In this paper, I suggest using the modified harmonic mean method for estimating marginal likelihood functions of cross-sectional spatial autoregressive models. In a Bayesian estimation setting, I show how this method can be used for popular cross-sectional spatial autoregressive models. In a simulation study, I investigate the finite sample performance of this estimator along with some other popular information criteria for the nested and non-nested model selection problems. The simulation results show that the modified harmonic mean estimator performs satisfactorily, and can be useful for the specification search exercises in spatial econometrics.

AB - In this paper, I suggest using the modified harmonic mean method for estimating marginal likelihood functions of cross-sectional spatial autoregressive models. In a Bayesian estimation setting, I show how this method can be used for popular cross-sectional spatial autoregressive models. In a simulation study, I investigate the finite sample performance of this estimator along with some other popular information criteria for the nested and non-nested model selection problems. The simulation results show that the modified harmonic mean estimator performs satisfactorily, and can be useful for the specification search exercises in spatial econometrics.

KW - AIC

KW - BIC

KW - DIC

KW - Marginal likelihood

KW - Model selection

KW - Modified harmonic mean

KW - SAR

UR - http://www.scopus.com/inward/record.url?scp=85145828939&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2023.110978

DO - 10.1016/j.econlet.2023.110978

M3 - Article

AN - SCOPUS:85145828939

SN - 0165-1765

VL - 223

JO - Economics Letters

JF - Economics Letters

M1 - 110978

ER -

Modified harmonic mean method for spatial autoregressive models

Özet

Bibliyografik not

Finansman

Belgeye Erişim

Diğer Dosyalar ve Linkler

Parmak izi

Alıntı Yap