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On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10011349180

The determinants of health care expenditure : testing pooling restrictions in small samples

Herwartz, Helmut; Theilen, Bernd - 2000

Healthcare expenditure has increased substantially in all western industrialized countries in the last decades. The necessity to contain the increase in health care expenditure has motivated the Analysis of its determinants to explain differences across countries and health systems. However,...

Persistent link: https://www.econbiz.de/10009612045

Testing mean stability of heteroskedastic time series

Dalla, Violetta; Giraitis, Liudas; Phillips, Peter C. B. - 2015

Time series models are often fitted to the data without preliminary checks for stability of the mean and variance, conditions that may not hold in much economic and financial data, particularly over long periods. Ignoring such shifts may result in fitting models with spurious dynamics that lead...

Persistent link: https://www.econbiz.de/10011405222

First Difference MLE and Dynamic Panel Estimation

Han, Chirok - 2011

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … finite sample peformance and asymptotics. FDML uses the Gaussian likelihood function for first differenced data and parameter … estimation is based on the whole domain over which the log-likelihood is defined. However, extending the domain of the likelihood …

Persistent link: https://www.econbiz.de/10013131588

Spatial, Temporal, and Spatiotemporal Autoregressive Probit Models of Binary Outcomes : Estimation, Interpretation, and Presentation

Franzese, Robert J. - 2010

Spatial/Spatiotemporal interdependence - i.e., that the outcomes, actions, or choices of some unit-times depend on those of others - is substantively and theoretically ubiquitous and central in binary outcomes of interest across the social sciences. However, most empirical applications omit...

Persistent link: https://www.econbiz.de/10013140392

The Relation of Different Concepts of Causality in Econometrics

Lechner, Michael - 2008

Granger and Sims non-causality (GSNC) are compared to non-causality based on concepts popular in the microeconometrics and programme evaluation literature (potential outcome non-causality, PONC). GSNC is defined as a set of restrictions on joint distributions of random variables with observable...

Persistent link: https://www.econbiz.de/10012727017

On the Practice of Bayesian Inference in Basic Economic Time Series Models Using Gibbs Sampling

De Pooter, Michiel - 2006

Persistent link: https://www.econbiz.de/10012732945

Estimation of Average Local-to-Unity Roots in Heterogenous Panels

Hjalmarsson, Erik - 2006

This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters. The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead. This median...

Persistent link: https://www.econbiz.de/10012733918

Scaled PCA : A New Approach to Dimension Reduction

Huang, Dashan - 2020

We propose a novel modification to the popular principal component analysis (PCA) by scaling each predictor with its predictive slope on the target to be forecasted. Unlike the PCA that maximizes the common variation of predictors, our scaled PCA, sPCA, puts more weights on those predictors that...

Persistent link: https://www.econbiz.de/10012849774

Pitfalls and Possibilities in Predictive Regression

Phillips, Peter C. B. - 2015

Financial theory and econometric methodology both struggle in formulating models that are logically sound in reconciling short run martingale behaviour for financial assets with predictable long run behavior, leaving much of the research to be empirically driven. The present paper overviews...

Persistent link: https://www.econbiz.de/10013020483

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