WIFO Working Papers

Discussion papers by WIFO staff, consultants and guests – As of 2006 available online only – Free download

WIFO Working Papers are not peer reviewed and are not necessarily based on a coordinated position of WIFO. The authors were informed about the Guidelines for Good Scientific Practice of the Austrian Agency for Research Integrity (ÖAWI), in particular with regard to the documentation of all elements necessary for the replicability of the results.

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Tamás Krisztin, Philipp Piribauer
A Bayesian Spatial Autoregressive Logit Model With An Empirical Application to European Regional FDI Flows
WIFO Working Papers, 2019, (586), 26 pages
Online since: 19.08.2019 0:00
In this paper we propose a Bayesian estimation approach for a spatial autoregressive logit specification. Our approach relies on recent advances in Bayesian computing, making use of Pólya-Gamma sampling for Bayesian Markov-chain Monte Carlo algorithms. The proposed specification assumes that the involved log-odds of the model follow a spatial autoregressive process. Pólya-Gamma sampling involves a computationally efficient treatment of the spatial autoregressive logit model, allowing for extensions to the existing baseline specification in an elegant and straightforward way. In a Monte Carlo study we demonstrate that our proposed approach significantly outperforms existing spatial autoregressive probit specifications both in terms of parameter precision and computational time. The paper moreover illustrates the performance of the proposed spatial autoregressive logit specification using pan-European regional data on foreign direct investments. Our empirical results highlight the importance of accounting for spatial dependence when modelling European regional FDI flows.
JEL-Codes:C11, C21, C25, F23, R11, R30
Keywords:Spatial autoregressive logit, Bayesian MCMC estimation, FDI flows, European regions
Research group:Structural Change and Regional Development