Modified harmonic mean method for spatial autoregressive models

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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 dilİngilizce
Makale numarası110978
DergiEconomics Letters
Hacim223
DOI'lar
Yayın durumuYayınlandı - Şub 2023

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© 2023 Elsevier B.V.

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