A matrix exponential spatial specification

被引：97

作者：

LeSage, James P. ^{[1
]}

Pace, R. Kelley

机构：

[1] Texas State Univ, McCoy Coll Business Adm, Dept Finance & Econ, San Marcos, TX 78666 USA

[2] Louisiana State Univ, EJ Ourso Coll Business Adm, Dept Finance, Baton Rouge, LA 70803 USA

来源：

JOURNAL OF ECONOMETRICS | 2007年 / 140卷 / 01期

基金：

美国国家科学基金会;

关键词：

spatial autoregression; bayesian; maximum likelihood; log-determinants; matrix exponentials; model comparison;

D O I：

10.1016/j.jeconom.2006.09.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We introduce the matrix exponential as a way of modelling spatially dependent data. The matrix exponential spatial specification (MESS) simplifies the log-likelihood allowing a closed form solution to the problem of maximum-likelihood estimation, and greatly simplifies the Bayesian estimation of the model. The MESS can produce estimates and inferences similar to those from conventional spatial autoregressive models, but has analytical, computational, and interpretive advantages. We present maximum likelihood and Bayesian approaches to the estimation of this spatial model specification along with methods of model comparisons over different explanatory variables and spatial specifications. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：190 / 214

页数：25

共 22 条

[11] Leonard T., 1999, BAYESIAN METHODS
[12] Introduction
LeSage, JP
Pace, RK
[J]. SPATIAL AND SPATIOTEMPORAL ECONOMETRICS, 2004, 18 : 1 - 32
[13] LINDLEY DV, 1957, BIOMETRIKA, V44, P187
[14] BAYESIAN GRAPHICAL MODELS FOR DISCRETE-DATA
MADIGAN, D
YORK, J
[J]. INTERNATIONAL STATISTICAL REVIEW, 1995, 63 (02) : 215 - 232
[15] MARDIA KV, 1989, BIOMETRIKA, V76, P289
[16] ESTIMATION METHODS FOR MODELS OF SPATIAL INTERACTION
ORD, K
[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1975, 70 (349) : 120 - 126
[17] PRESS W, 1949, NUMERICAL RECIPES FO, V77
[18] Expokit: A software package for computing matrix exponentials
Sidje, RB
[J]. ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE, 1998, 24 (01): : 130 - 156
[19] Strang G., 1976, LINEAR ALGEBRA ITS A
[20] WARNES JJ, 1987, BIOMETRIKA, V74, P640, DOI 10.2307/2336705

← 1 2 3 →