Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....

The degree of empirical support of a priori plausible structures on the cointegration vectors has a central role in the analysis of cointegration. Villani (2000) and Strachan and van Dijk (2003) have recently proposed finite sample Bayesian procedures to calculate the posterior probability of...

This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the computational tractability of the model and to...

A stylized fact from laboratory experiments is that there is much heterogeneity in human behavior. We present and demonstrate a computationally practical non-parametric Bayesian method for characterizing this heterogeneity. In addition, we define the concept of behaviorally distinguishable...

Testing for Granger non-causality over varying quantile levels could be used to measure and infer dynamic linkages, enabling the identification of quantiles for which causality is relevant, or not. However, dynamic quantiles in financial application settings are clearly affected by...