Seemingly Unrelated Regression Spatial Autoregressive Bayesian Modeling on Heteroscedasticity Case

Abstract

The phenomenon encountered occasionally on complications involving spatial data, is that there is a tendency of heteroscedasticity since every region has distinct characteristics. Thus, it requires the approach which is more appropriate with the problem by using the Bayesian method. Bayesian method on spatial autoregressive model to contend the heteroscedasticity by applying prior distribution on variance parameter of error. To detect heteroscedasticity, it is shown from several responses correlating with the predictors. The method abled to estimate some responses is Seemingly Unrelated Regression (SUR). SUR is an econometrics model that used to be being utilized in solving some regression equations in which of them has their own parameter and appears to be uncorrelated. However, by correlation of error in differential equations, the correlation would occur among them. With the condition of the Bayesian SUR spatial autoregressive model, it is able to overcome heteroscedasticity cases from the vision of spatial. Further, the model involves four kinds of parameter priors’ distributions estimated by using the process of MCMC.