Jesus Crespo Cuaresma
() and Philipp Piribauer
Jesus Crespo Cuaresma: Department of Economics, Vienna University of Economics and Business
Philipp Piribauer: Department of Economics, Vienna University of Economics and Business
Abstract: This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging techniques both in terms of in-sample predictive performance and computational efficiency.
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