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Current account benchmarks for central and eastern Europe: a desperate search?
Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - 2009
sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel …
Persistent link: https://www.econbiz.de/10011605041
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012
We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
Persistent link: https://www.econbiz.de/10010326354
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Bayesian analysis of instrumental variable models: The potential of direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012
Persistent link: https://www.econbiz.de/10010326499
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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10010326521
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Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application
Paserman, Marco Daniele - 2004
This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...
Persistent link: https://www.econbiz.de/10010276176
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Flexible modeling of conditional distributions using smooth mixtures of asymmetric student T densities
Li, Feng; Villani, Mattias; Kohn, Robert - 2009
A general model is proposed for flexibly estimating the density of a continuous response variable conditional on a possibly high-dimensional set of covariates. The model is a finite mixture of asymmetric student-t densities with covariate dependent mixture weights. The four parameters of the...
Persistent link: https://www.econbiz.de/10010320729
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Modeling conditional densities using finite smooth mixtures
Li, Feng; Villani, Mattias; Kohn, Robert - 2010
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/10010320786
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On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
Dufays, Arnaud - 2014
Sequential Monte Carlo (SMC) methods are widely used for filtering purposes of non-linear economic or financial models. Nevertheless the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov- Chain...
Persistent link: https://www.econbiz.de/10011506783
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A bayesian approach to model-based clustering for panel probit models
Aßmann, Christian; Boysen-Hogrefe, Jens - 2009
latent heterogeneity for panel probit models. Within a Bayesian framework an estimation algorithm dealing with the inherent …
Persistent link: https://www.econbiz.de/10010298828
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Panel vector autoregressive models: a survey
Canova, Fabio; Ciccarelli, Matteo - 2013
This paper provides an overview of the panel VAR models used in macroeconomics and finance. It discusses what are their … distinctive features, what they are used for, and how they can be derived from economic theory. It also describes how they are … estimated and how shock identification is performed, and compares panel VARs to other approaches used in the literature to deal …
Persistent link: https://www.econbiz.de/10011605552