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A Comparison of Marginal Likelihood Computation Methods
Bos, Charles S. - Tinbergen Institute - 2002
In a Bayesian analysis, different models can be compared on the basis of the expected or marginal likelihood they attain. Many methods have been devised to compute the marginal likelihood, but simplicity is not the strongest point of most methods. At the same time, the precision of methods is...
Persistent link: https://www.econbiz.de/10005136902
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999
the Value-at-Risk of the return of the Dow Jones stock index. <BR><BR> …
Persistent link: https://www.econbiz.de/10005137171
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10008838634
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Bayesian Forecasting of Value at Risk and Expected Shortfall using Adaptive Importance Sampling
Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008
An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures …
Persistent link: https://www.econbiz.de/10005144532
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Risk, Balanced Skills and Entrepreneurship
Hsieh, Chihmao; Parker, Simon C.; Praag, C. Mirjam van - Tinbergen Institute - 2011
This paper proposes that risk aversion encourages individuals to invest in balanced skill profiles, making them more … the impacts both of risk aversion and balanced skills on the likelihood individuals choose entrepreneurship. Data on Dutch … university graduates provides evidence which supports this contention. It thereby raises the possibility that even risk …
Persistent link: https://www.econbiz.de/10009399735
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Limitations on De-collectivisation in Central European Agriculture
Bezemer, Dirk J. - Tinbergen Institute - 2000
Following formal privatisation of farm land and assets in Central Europe, the change in agricultural production structures has been both more limited and different than was initially expected. In this paper, the theoretical reasons underlying those expectations are reviewed. An alternative...
Persistent link: https://www.econbiz.de/10005144468
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On the Timing of Marriage, Cattle and Weather Shocks
Hoogeveen, Hans; Klaauw, Bas van der; Lomwel, Gijsbert van - Tinbergen Institute - 2004
In this paper we focus on the timing of marriages of women, whose marriages are associated with bride wealth payments, which are transfers from (the family of) the groom to the bride's family. Unmarried daughters could therefore be considered assets who, at times of need, can be cashed in. We...
Persistent link: https://www.econbiz.de/10005144507
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Russian Reforms: the Return of the Peasant?
Bezemer, Dirk J. - Tinbergen Institute - 1999
Russian agriculture in transition (1991-1998) was characterised by a production collapse due to a loss in quality and quantity of acreage, disinvestments, falling purchasing power, and increased imports. Neither traditional agriculture nor the nascent family farm sector have been able to ensure...
Persistent link: https://www.econbiz.de/10005136885
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Forecasting Productivity Using Information from Firm-Level Data
Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009
This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...
Persistent link: https://www.econbiz.de/10005016264
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009
Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...
Persistent link: https://www.econbiz.de/10005016276