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Persistent link: https://www.econbiz.de/10011629070
Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large...
Persistent link: https://www.econbiz.de/10008696841
This paper addresses the problem of Bayesian inference in autoregressive (AR) processes in the case where the correct model order is unknown. Original hierarchical prior models that allow the stationarity of the model to be enforced are proposed. Obtaining the quantities of interest, such as...
Persistent link: https://www.econbiz.de/10014069115
Smooth mixtures, i.e. mixture models with covariate-dependent mixing weights, are very useful flexible models for conditional densities. Previous work shows that using too simple mixture components for modeling heteroscedastic and/or heavy tailed data can give a poor fit, even with a large...
Persistent link: https://www.econbiz.de/10014188958
Focus is on efficient estimation of a dynamic space-time panel data model that incorporates spatial dependence … of spatial units and T the number of time periods. Quasi-maximum likelihood (QML) estimation in cases involving large N … estimates that require numerous inversions of large matrices. We set forth a Markov Chain Monte Carlo (MCMC) estimation …
Persistent link: https://www.econbiz.de/10011954962
This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...
Persistent link: https://www.econbiz.de/10013057840
Persistent link: https://www.econbiz.de/10013491104
In this paper, we propose a Markov Chain Quasi-Monte Carlo (MCQMC) approach for Bayesian estimation of a discrete … the conventional Bayesian estimation method for SV models, pseudo-random numbers are usually used. Here we develop an …
Persistent link: https://www.econbiz.de/10013116422
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