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Posterior Simulation and Bayes Factors in Panel Count Data Models

Chib, Siddhartha; Greenberg, Edward; Winkelmann, Rainer - EconWPA - 1996

This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the...

Persistent link: https://www.econbiz.de/10005556364

Bayesian Analysis of Multivariate Probit Models

Chib, Siddhartha; Greenberg, Edward - EconWPA - 1996

This paper provides a unified simulation-based Bayesian and non-Bayesian analysis of correlated binary data using the …

Persistent link: https://www.econbiz.de/10005556368

MCMC Methods for Fitting and Comparing Multinomial Response Models

Chib, Siddhartha; Greenberg, Edward; Chen, Yuxin - EconWPA - 1998

This paper is concerned with statistical inference in multinomial probit, multinomial-$t$ and multinomial logit models. New Markov chain Monte Carlo (MCMC) algorithms for fitting these models are introduced and compared with existing MCMC methods. The question of parameter identification in the...

Persistent link: https://www.econbiz.de/10005119186

Bayesian and Classical Approaches to Instrumental Variables Regression

Kleibergen, Frank; Zivot, Eric - EconWPA - 1998

We estabilsh the relationships between certain Bayesian and classical approaches to instrumental variables regression … classical 2SLS and LIML and in doing so provide some new insight to the small sample behavior of Bayesian and classical … Bayesian and classical procedures in linear regression models: i.e., Bayesian analysis with a diffuse prior leads to posteriors …

Persistent link: https://www.econbiz.de/10005062530

Testing and Estimating Persistence in Canadian Unemployment.

Mikhail, Ossama; Eberwein, Curtis J.; Handa, Jagdish - EconWPA - 2003

framework of Bayesian ARFIMA class of models. The results conclude that Canadian unemployment exhibits persistence in the short …

Persistent link: https://www.econbiz.de/10005062535

A Method for Assigning Letter Grades: Multi-Curve Grading

Strashny, Alex - EconWPA - 2003

This paper describes a new method for assigning letter grades to students based on their raw scores, which I call Multi-Curve Grading (MCG). The intuition behind the method is that a class can be composed of several different subgroups, each of which should be assigned a different grade. In...

Persistent link: https://www.econbiz.de/10005119214

Bayesian Stochastic Frontier Analysis Using WinBUGS

Griffin, Jim; Steel, Mark - EconWPA - 2005

Markov chain Monte Carlo (MCMC) methods have become a ubiquitous tool in Bayesian analysis. This paper implements MCMC … methods for Bayesian analysis of stochastic frontier models using the WinBUGS package, a freely available software. General …

Persistent link: https://www.econbiz.de/10005062542

Inference With Non-Gaussian Ornstein-Uhlenbeck Processes for Stochastic Volatility

Griffin, James E.; Steel, Mark F.J. - EconWPA - 2002

practically relevant inference methods for such models, within the Bayesian paradigm. The algorithm is based on Markov chain Monte …

Persistent link: https://www.econbiz.de/10005556307

Model uncertainty in cross-country growth regressions

Fernandez, Carmen; Ley, Eduardo; Steel, Mark - EconWPA - 2001

We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA …

Persistent link: https://www.econbiz.de/10005556336

Semiparametric Bayesian Inference for Stochastic Frontier Models

Griffin, Jim E.; Steel, Mark F.J. - EconWPA - 2002

In this paper we propose a semiparametric Bayesian framework for the analysis of stochastic frontiers and efficiency … distributions and implement a Bayesian analysis through an efficient Markov chain Monte Carlo sampler, which allows us to deal with …

Persistent link: https://www.econbiz.de/10005556378