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Heterogeneous variable selection in nonlinear panel data models : a semiparametric Bayesian approach
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020
method additionally allows for other forms of cross-sectional heterogeneity. We consider a two-group approach for the model … Dirichlet process (DP) mixture of multivariate normals (other cross-sectional heterogeneity). We develop our approach for … continuous heterogeneity leads to an improved in-sample and out-of-sample performance and interesting insights. These findings …
Persistent link: https://www.econbiz.de/10012427429
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10008857052
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Bayes estimates of Markov trends in possibly cointegrated series : an application to US consumption and income
Paap, Richard; Dijk, Herman K. van - 1999
Stylized facts show that the average growth rates of US per capitaconsumption and income differ in recession and expansion periods.Since a linear combination of such series does not have to be a constant meanprocess, standard cointegration analysis between the variables, toexamine the permanent...
Persistent link: https://www.econbiz.de/10011301165
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The Bayesian score statistic
Kleibergen, Frank; Kleijn, Richard; Paap, Richard - 2000
We propose a novel Bayesian test under a (noninformative) Jeffreys'priorspecification. We check whether the fixed scalar value of the so-calledBayesian Score Statistic (BSS) under the null hypothesis is aplausiblerealization from its known and standardized distribution under thealternative....
Persistent link: https://www.econbiz.de/10011303302
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Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2010
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011382676
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An alternative Bayesian approach to structural breaks in time series models
Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 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/10011383033
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A Bayesian infinite hidden Markov vector autoregressive model
Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2016
model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the …
Persistent link: https://www.econbiz.de/10011569148
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A multinomial and rank-ordered logit model with inter- and intraindividual heteroscedasticity
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020
The heteroscedastic logit model is useful to describe choices of individuals when the randomness in the choice-making varies over time. For example, during surveys individuals may become fatigued and start responding more randomly to questions as the survey proceeds. Or when completing a ranking...
Persistent link: https://www.econbiz.de/10012427691
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Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
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Do experts incorporate statistical model forecasts and should they?
Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - 2011
Persistent link: https://www.econbiz.de/10009720739