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A Spatial Prior for Bayesian Vector Autoregressive Models
Authors:James P. LeSage,&   Anna Krivelyova
Affiliation:University of Toledo, Toledo, OH
Abstract:In this paper we develop a Bayesian prior motivated by cross-sectional spatial autoregressive models for use in time-series vector autoregressive forecasting involving spatial variables. We compare forecast accuracy of the proposed spatial prior to that from a vector autoregressive model relying on the Minnesota prior and find a significant improvement. In addition to a spatially motivated prior variance as in LeSage and Pan (1995) we develop a set of prior means based on spatial contiguity. A Theil-Goldberger estimator may be used for the proposed model making it easy to implement.
Keywords:
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