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Farit Mochamad Afendi
Biopharmaca Research Center, Bogor Agricultural University Department Of Statistic, Faculty Of Mathematics And Natural Sciences, Bogor Agricultural University
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Study of Spatial Autoregressive Regression With Heteroskedasticity Using the Generalized Method of Moments and Bayesian Approach : Kajian Regresi Spasial Autoregresif dengan Heteroskedastik Menggunakan Generalized Method of Moments dan Pendekatan Bayes Abialam Koesnandy H; Agus Mohamad Soleh; Farit Mochamad Afendi
Indonesian Journal of Statistics and Applications Vol 8 No 1 (2024)
Publisher : Statistics and Data Science Program Study, SSMI, IPB University, in collaboration with the Forum Pendidikan Tinggi Statistika Indonesia (FORSTAT) and the Ikatan Statistisi Indonesia (ISI)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.29244/ijsa.v8i1p58-69

Abstract

Spatial dependence and spatial heteroskedasticity are problems in spatial regression. Spatial autoregressive regression (SAR) concerns only to the dependence on lag. The estimation of SAR parameters containing heteroskedasticity using the maximum likelihood estimation (MLE) method provides biased and inconsistent estimators. The alternative method that can be used are generalized method of moments (GMM) and Bayesian method. GMM uses a combination of linear and quadratic moment functions simultaneously so that the computation is easier than MLE. Bayesian method solves heteroskedasticity by modeling the structure of variance-covariance matrix. The bias are used to evaluate the GMM and Bayes in estimating parameters of SAR model with heteroskedasticity disturbances in simulation data. The results show that GMM and Bayes provides the bias of parameter estimates relatively consistent and smaller with larger number of observations. GMM and Bayes methods are applied to district/city GRDP data in Indonesia. The result show GMM method with Eksponential Distance Weights (EDW) matrix produces the minimum variance and the largest pseudo-R2
Co-Authors . Indahwati . Sutoro Aam Alamudi Abd. Rasyid Syamsuri Abialam Koesnandy H Adeline Vinda Septiani Agus Mohamad Soleh Aji Hamim Wigena Akbar Rizki Akbar Rizki Akbar Rizki Aki Hirai Anang Kurnia Anggraini Sukmawati Annisa Malik Aqmar, Nurzatil Bagus Sartono Budi Susetyo Budi Waryanto Budi Waryanto Budi Waryanto Cici Suhaeni Dairul Fuhron Dian Ayuningtyas Eka Setiawaty Erwandi Erwandi fatimah Fatimah Fatkhul Izzati Febie Tri Lestari Fitrianto, Anwar H S, Rahmat Handayani, Vitri Aprilla Handayani, Vitri Aprilla Hari Wijayanto Hari Wijayanto Hasibuan, Rafika Aufa Hasnita Hasnita Herdina Kuswari Hiroki Takahashi I Made Sumertajaya Ikhlasul Amalia Rahmi Indahwati Indahwati Indahwati Intan Juliana Panjaitan Isnan Mulia Itasia Dina Sulvianti Kensuke Nakamura Khairil Anwar Notodiputro Kusman Sadik Latifah Kosim Darusman Maya Deanti Maysarah Sabariah Kudadiri Md. Altaf-Ul-Amin . Melati Mochamad Ridwan Mochamad Ridwan, Mochamad Mohammad Masjkur Muchlishah Rosyadah Muhammad Ali Umar Mukhamad Najib Nadhif Nursyahban Nur Hikmah Nur Janah Nur Jannah Nurul Qomariasih Octaviani, Siti Nurfajar Panjaitan, Intan Juliana Pika Silvianti Pika Silvianti Pika Silvianti Puspita, Novi Qomariasih, Nurul Rifqi Aulya Rahman Rizal Bakri Rossi Azmatul Barro Rosyadah, Muchlishah Rudi Heryanto Safitri, Wa Ode Rahmalia Septaningsih, Dewi Anggraini Septanti Kusuma Dwi Arini Shigehiko Kanaya Siti Nurfajar Octaviani Sulistiyani . Syahrir, Nur Hilal A. Syahrir, Nur Hilal A. Usman, Muhammad Syafiuddin Widhiyanti Nugraheni Widya Putri Nurmawati Winata, Hilma Mutiara Wisnu Ananta Kusuma Zana Aprillia