This article is concerned with the analysis of correlated count data. A class of models is proposed in which the correlation among the counts is represented by correlated latent effects. Special cases of the model are discussed and a tuned and efficient Markov chain Monte Carlo algorithm is...

Lubik and Schorfheide (2004) extend estimated DSGE models to address monetary policy indeterminacy. Their method leads to an all-or-none classification of a time period as having determinate or indeterminate monetary policy. Sub-sample estimates indicate, however, that U.S. monetary policy might...

This talk discusses and illustrates a software environment for conducting Bayesian calculations for a variety of models including those for discrete and panel data. The software is self-contained and provides spreadsheet/ graphics facilities for manipulating both input and output data from the...

This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime. In this model,...

Given the advent of basket-level purchasing data of households, choice modelers are actively engaged in the development of statistical and econometric models of multi-category choice behavior of households. This paper reviews current developments in this area of research, discussing the modeling...

The authors examine autoregressive time series models subject to regime switching. A Bayesian framework is develope d in which the unobserved.states, one for each time point, are treated as missing data and then analyzed using the Gibbs sampler. This approac h is straightforward because the...

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...