Flexible dependence modeling using convex ...
Document type :
Article dans une revue scientifique
Title :
Flexible dependence modeling using convex combinations of different types of connectivity structures
Author(s) :
Debarsy, Nicolas [Auteur]
Lille économie management - UMR 9221 [LEM]
Lesage, James [Auteur]
McCoy College of Business Administration Finance and Economics Department

Lille économie management - UMR 9221 [LEM]
Lesage, James [Auteur]
McCoy College of Business Administration Finance and Economics Department
Journal title :
Regional Science and Urban Economics
Pages :
48-68
Publisher :
Elsevier
Publication date :
2018
ISSN :
0166-0462
English keyword(s) :
Spatial econometrics
Connectivity matrix
Salary benchmarking models
Markov Chain Monte Carlo estimation
Bayesian
Connectivity matrix
Salary benchmarking models
Markov Chain Monte Carlo estimation
Bayesian
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
Sciences de l'Homme et Société/Méthodes et statistiques
Sciences de l'Homme et Société/Méthodes et statistiques
English abstract : [en]
There is a great deal of literature regarding use of non-geographically based connectivity matrices or combinations of geographic and non-geographic structures in spatial econometrics models. We explore alternative approaches ...
Show more >There is a great deal of literature regarding use of non-geographically based connectivity matrices or combinations of geographic and non-geographic structures in spatial econometrics models. We explore alternative approaches for constructing convex combinations of different types of dependence between observations. ? as well as ? use convex combinations of different connectivity matrices to form a single weight matrix that can be used in conventional spatial regression estimation and inference. An example for the case of two weight matrices, W 1 , W 2 reflecting different types of dependence between a cross-section of regions, firms, individuals etc., located in space would be: W c = γ 1 W 1 + (1 − γ 1)W 2 , 0 ≤ γ 1 ≤ 1. The matrix W c reflects a convex combination of the two weight matrices, with the scalar parameter γ 1 indicating the relative importance assigned to each type of dependence. We explore issues that arise in producing estimates and inferences from these more general cross-sectional regression relationships in a Bayesian framework. We propose two procedures to estimate such models and assess their finite sample properties through Monte Carlo experiments. We illustrate our methodology in an application to CEO salaries for a sample of nursing homes located in Texas. Two types of weights are considered, one reflecting spatial proximity of nursing homes and the other peer group proximity, which arises from the salary benchmarking literature.Show less >
Show more >There is a great deal of literature regarding use of non-geographically based connectivity matrices or combinations of geographic and non-geographic structures in spatial econometrics models. We explore alternative approaches for constructing convex combinations of different types of dependence between observations. ? as well as ? use convex combinations of different connectivity matrices to form a single weight matrix that can be used in conventional spatial regression estimation and inference. An example for the case of two weight matrices, W 1 , W 2 reflecting different types of dependence between a cross-section of regions, firms, individuals etc., located in space would be: W c = γ 1 W 1 + (1 − γ 1)W 2 , 0 ≤ γ 1 ≤ 1. The matrix W c reflects a convex combination of the two weight matrices, with the scalar parameter γ 1 indicating the relative importance assigned to each type of dependence. We explore issues that arise in producing estimates and inferences from these more general cross-sectional regression relationships in a Bayesian framework. We propose two procedures to estimate such models and assess their finite sample properties through Monte Carlo experiments. We illustrate our methodology in an application to CEO salaries for a sample of nursing homes located in Texas. Two types of weights are considered, one reflecting spatial proximity of nursing homes and the other peer group proximity, which arises from the salary benchmarking literature.Show less >
Language :
Anglais
Peer reviewed article :
Oui
Audience :
Internationale
Popular science :
Non
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