Publication: Spatial multivariate regressions with panel data
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eng
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Brasil
Amazônia
Amazônia
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BR
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Instituto de Pesquisa Econômica Aplicada (Ipea)
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Reproduction of this text and the data it contains is allowed as long as the source is cited. Reproductions for commercial purposes are prohibited.
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Discussion Paper 214 : Spatial multivariate regressions with panel data, Regressões multivariadas espaciais com dados em painel
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Abstract
Neste estudo desenvolvemos um estimador Bayesiano capaz de lidar simultaneamente com uma estrutura de regressão multivariada de dados em painel e com correlação espacial. A análise dos dados em painel contempla os casos de pooling, efeito fixo e efeito aleatório. Para estimação do modelo com efeito aleatório, usamos a análise hierárquica. As simulações de Monte Carlo via cadeia de Markov demonstraram a capacidade do estimador para replicar os dados muito bem simulados. Usamos ainda dados de desmatamento da Amazônia brasileira para atestar a relevância empírica desse novo estimador.
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We develop a new Bayesian estimator that is able to deal with multivariate panel data structure in the presence of spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the random effect model. This work extends the previous study undertaken by Gamerman and Moreira (2004) which only spatial scale is considered. To estimate the random effect model we use the hierarchical analysis that can be applied to estimate some categories of longitudinal data models. The Monte Carlo simulations demonstrate the ability of this new estimator to replicate quite well simulated data. To show the empirical relevance of this new estimator we apply it to the deforestation data in the Brazilian Amazon.