Misspecification of Spatial Effects in the Bayesian Spatial Autoregressive Model. The Results From the Monte Carlo Simulation
DOI:
https://doi.org/10.12775/AUNC_ECON.2014.014Keywords
spatial autoregressive model, Bayesian MCMC, Monte Carlo simulationAbstract
The aim of this paper is to analyze the impact of the SAR model misspecification. We concentrate on the effect of ignoring random effects (both independent and spatially correlated) in the SAR model. The results from the Monte Carlo simulation suggests the overestimation of the spatial parameter and error variance if the random effects are omitted in the SAR model.References
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