Information criteria for matrix exponential spatial specifications

Abstract

In this study, we suggest using information criteria for nested and non-nested model selection problems for the matrix exponential spatial specifications (MESS) under both homoskedasticity and heteroskedasticity. To this end, we consider the deviance information criterion, the Akaike information criterion and the Bayesian information criterion in a Bayesian setting. In the heteroskedastic case, we assume that the error terms have a scale mixture of normal distributions, where the scale mixture variables are latent variables that lead to different distributions. We demonstrate how the integrated likelihood function can be obtained analytically by integrating out the scale mixture variables from the complete-data likelihood function, and how this integrated likelihood function can be used to formulate the information criteria. We investigate the finite sample performance of these criteria in selecting the true model in a simulation study. The results show that these criteria perform satisfactorily and can be useful for selecting the correct model in specification search exercises. Finally, we apply the proposed information criteria to a spatially augmented growth model and a carbon emission model to show their usefulness for both nested and non-nested model selection problems.