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Untitled - UFRJ

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A Bayesian Spatial Model for Panel Time Series DataHelio dos Santos MigonIM & COPPE - <strong>UFRJ</strong>The focus of this talk will be on the development of spatio-temporal econometrics models for paneldata, whose elements correspond to economic agents. The spatial dependence between agents’ will betake into account via an exogenous economic distance, which will be incorporated both in the mean andvariance structure of the model. In order to accomodate the presence of occasional outliers a t-Studentregression model is also introduced. The sensitivity to alternative hyperparameters prior specificationswill be evaluated. An illustrative application, using our proposed models, is presented to show how thejoint movements in output growth across Brazilian industrial sectors depends on the similarity of sectors’technologies. This is joint work with: Esther Salazar and Larissa Alves.17

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