Bayesian methodsBayesian / computational
Spatial Bayesian Model Averaging
Spatial Bayesian model averaging (spatial BMA) extends classical BMA to settings where observations are georeferenced and spatial dependence must be modelled. Rather than selecting a single spatial regression model — which spatial weight matrix to use, which regressors to include, which spatial lag or error structure to adopt — it averages the predictions and parameter estimates across all candidate models, weighting each by its posterior probability given the data.
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Sources
- LeSage, J. P. & Pace, R. K. (2009). Introduction to Spatial Econometrics. CRC Press / Taylor & Francis. ISBN: 978-1420064247
- Fernandez, C., Ley, E. & Steel, M. F. J. (2001). Benchmark priors for Bayesian model averaging. Journal of Econometrics, 100(2), 381-427. DOI: 10.1016/S0304-4076(00)00076-2 ↗