Statistical Modelling 8 (2008), 285311
Bayesian inference in STAR models using neighbourhood effects
Asuncion Beamonte and Pilar Gargallo
Business School, University of Zaragoza
Spain
Manuel Salvador
Gran Vìa 2,
Zaragoza
Spain
eMail:
salvador@unizar.es
Abstract:
In this paper we propose a semi-parametric Bayesian analysis of a
spatio-temporal autoregressive model (STAR) with neighbourhood effects
similar to those of Pace et al. (1998, 2000). This approach allows us
to make inferences about the parameters of the model and, more
particularly, about the number of neighbours, without having to appeal
to asymptotic results. In addition, the procedure used to obtain the
out-sample predictions takes into account the uncertainty associated to
the estimation of the model parameters in a more realistic way. The
methodology is illustrated by means of an application to the real estate
market in the city of Zaragoza (Spain).
Keywords:
STAR; Bayesian inference; MCMC; hedonic model; real estate market
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