Bayesian inference in STAR models using neighbourhood effects

摘要

In this paper we propose a semi-parametric Bayesian analysis of a spatio-temporalautoregressive 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 Todel`and, more particularly,about the number of neighbours, without having to appeal to asymptotic results. In addition, theprocedure used to obtain the out-sample predictions takes into account the uncertainty associated tothe estimation of the model parameters in a more realistic way. The methodology is illustrated by meansof an application to the real estate market in the city of Zaragoza (Spain).