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A comparison of Bayesian and frequentist variable selection methods for estimating average treatment effects in logistic regression
Martinez, Alex H.; Christensen, Brian; Sutton, Elizabeth F. - 2025
forward, backward, and stepwise confounding variable selection estimate the ATE compared to spike-and-slab Bayesian variable …. Overall, results suggest that Bayesian variable selection is more appealing in smaller sample sizes than frequentist variable …
Persistent link: https://www.econbiz.de/10015209977
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Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit
Ardia, David; van Dijk, Herman K.; Hoogerheide, … - Departement für Quantitative Wirtschaftsforschung, … - 2008
second shows the relevance of the adaptive mixture procedure through the Bayesian estimation of a mixture of ARCH model …
Persistent link: https://www.econbiz.de/10005585526
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Estimating SUR Tobit Model while errors are gaussian scale mixtures: with an application to high frequency financial data
Qian, Hang - Volkswirtschaftliche Fakultät, … - 2009
Simulated Likelihood, Expectation Maximization Algorithm and Bayesian MCMC simulators, are proposed and compared via generated … data experiments. The chief finding is that Bayesian approach outperforms others in terms of accuracy, speed and stability …
Persistent link: https://www.econbiz.de/10009149382
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A comparison of Bayesian and frequentist variable selection methods for estimating average treatment effects in logistic regression
Martinez, Alex H.; Christensen, Brian; Sutton, Elizabeth F. - 2025
forward, backward, and stepwise confounding variable selection estimate the ATE compared to spike-and-slab Bayesian variable …. Overall, results suggest that Bayesian variable selection is more appealing in smaller sample sizes than frequentist variable …
Persistent link: https://www.econbiz.de/10015202692
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A new model of trend inflation
Chan, Joshua; Koop, Gary; Potter, Simon - Volkswirtschaftliche Fakultät, … - 2012
This paper introduces a new model of trend (or underlying) inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model which ensures that trend inflation is constrained to lie in an interval. The bounds of this...
Persistent link: https://www.econbiz.de/10011112353
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Smooth transition GARCH models: a Bayesian perspective
LUBRANO, Michel - Center for Operations Research and Econometrics (CORE), … - 1998
mixedeffect. A Bayesian strategy, based on the comparison between posterior and predictive Bayesian residuals, is built for …
Persistent link: https://www.econbiz.de/10005043445
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Integrating spatial dependence into stochastic frontier analysis
Areal, Francisco J; Balcombe, Kelvin; Tiffin, R - Volkswirtschaftliche Fakultät, … - 2010
analyse the effect of these on the estimation of spatial dependence. Estimation is conducted using a Bayesian approach and …
Persistent link: https://www.econbiz.de/10008642662
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Uniform priors for impulse responses
Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2023
There has been a call for caution when using the conventional method for Bayesian inference in setidentified structural …
Persistent link: https://www.econbiz.de/10014388427
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - 2013
available. For this situation, we employ a Bayesian quadrature method because it allows us to incorporate prior assumptions on …
Persistent link: https://www.econbiz.de/10010319199
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Bayesian estimation and model selection in the generalised stochastic unit root model
Yang, Fuyu; Leon-Gonzalez, Roberto - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10010270805