关键词: Bayes估计, Metropolis-Hastings, MCMC

Abstract: This paper used Bayesian method to analyze the spatial lag model. When the construction of Bayesian framework, we selected normal distribution and inverse gamma distribution as prior of model coefficients and error variance in order to obtain the joint posterior distribution and the conditional posterior distribution of parameters. The article mainly used MCMC methods to estimate parameters, and also designed a simple random walk Metropolis sampling device, to facilitate the sampling from conditional posterior distribution of spatial weighting factor coefficient. Finally, the proposed method was used for numerical simulation.

Key words: Bayesian Estimation, Metropolis-Hastings, MCMC