most citedFast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices

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econ.EM2022★ 1 cited

Fast Two-Stage Variational Bayesian Approach to Estimating Panel Spatial Autoregressive Models with Unrestricted Spatial Weights Matrices

Deborah Gefang, Stephen G. Hall, George S. Tavlas

This paper proposes a fast two-stage variational Bayesian (VB) algorithm to estimate unrestricted panel spatial autoregressive models. Using Dirichlet-Laplace priors, we are able t…