RFC SEjags: Bayesian spatial econometrics models with JAGS
I am developing a new package on Bayesian spatial econometrics models that implements the main models using JAGS. Right now, it fits SEM, SLM, SDM, SDEM, SLX and SAC models (using the terminology in the works by LeSage and Page). It also supports a model with a proper CAR distribution for the error term. In addition, probit and logit links (for binary data) are also supported. Computation of the impacts is available through the impacts() function.
You can install it from github and run some examples on the Columbus dataset with:
Other models could be easily implemented and the bugs models included in the package can serve as a starting point. I believe that this implementation will be slow for medium or large datasets because of the way it handles inversion of matrices.
I’ve noticed that some people on the list work with these models and I would love to hear from them. If you are able to try and have some comments, please, do not hesitate to contact me off list.