In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the...

This paper studies the dynamics of an asset pricing model based on simple deterministic agents.

In this paper we head for a fully Bayesian analysis of the latent class model with a priori unknown number of classes. Estimation is carried out by means of Markov Chain Monte Carlo (MCMC) methods. We deal explicitely with the consequences the unidentifiability of this type of model has on MCMC...

In the present paper we consider Bayesian estimation of a finite mixture of models with random effects which is also known as the heterogeneity model. First, we discuss the properties of various MCMC samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing.(...)

In this paper we carry out fully Bayesian analysis of the general heterogeneity model, which is a mixture of random effects model, and its special cases, the random coefficient model and the latent class model. Our application comes from Conjoint analysis and we are especially interested in what...

This dissertation is comprised of three essays on nonparametric Bayesian modeling in microeconometrics. The introduction discusses some basic concepts of Bayesian nonparametrics including the Dirichlet process and the mixture of Dirichlet processes model. Further, the literature on estimating...

In this paper, we compare the empirical properties of closed- and open-economy DSGEmodels estimated on Euro area data. The comparison is made along several dimensions;we examine the models in terms of their marginal likelihoods, forecasting performance,variance decompositions, and their...

Diese Dissertation setzt sich aus vier Arbeiten zusammen, die Forschungsfragen bezüglich verschiedener Kernaufgaben von Versicherungsunternehmen betrachten: Das Pricing von Versicherungsprodukten, die Schätzung zukünftiger Schäden, das Management von Aktiva und Passiva und die Erfüllung der...

We attempt to provide insights into how heterogeneity has been and can be addressed in choice modeling. In doing so, we deal with three topics: Models of heterogeneity, Methods of estimation and Substantive issues. In describing models we focus on discrete versus continuous representations of...