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On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank : an application of flexible sampling methods using neural networ...
Hoogerheide, Lennart F.; Kaashoek, Johan F.; Dijk, … - In: Journal of econometrics 139 (2007) 1, pp. 154-180
Persistent link: https://www.econbiz.de/10003516747
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912
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Parameter estimation for a discrete-response model with double rules of sample selection : a Bayesian approach
Zhang, Rong; Inder, Brett A.; Zhang, Xibin - 2012
Persistent link: https://www.econbiz.de/10009565444
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Computing bayes : from then 'til now
Martin, Gael M.; Frazier, David T.; Robert, Christian P. - 2022
Persistent link: https://www.econbiz.de/10013494406
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Sample Selection with Binary Endogenous Variable : A Bayesian Analysis of Participation to Timber Auctions
Preget, Raphaele; Waelbroeck, Patrick - 2006
We propose a Bayesian Metropolis-Gibbs Monte Carlo Markov Chain (MCMC) algorithm to estimate parameters of a sample selection model in which the selected equation include a binary endogenous explanatory variable, using a three simultaneous equation model. We apply our methodology to...
Persistent link: https://www.econbiz.de/10014055716
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Nexus between tourism and ecological footprint in RCEP : fresh evidence from Bayesian MCMC random-effects sampling
Nguyen Ngoc Thach; Bui Hoang Ngoc - In: Cogent business & management 10 (2023) 1, pp. 1-17
In recent years, environmental protection has been a priority goal in tourism policies worldwide, including the regional comprehensive economic partnership (RCEP). This study is conducted to explore the impact of tourism, economic growth, globalization, and human capital on environmental...
Persistent link: https://www.econbiz.de/10014481216
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On the Shape of Posterior Densities and Credible Sets in Instrumental Variable Regression Models with Reduced Rank : An Application of Flexible Sampling Methods Using Neural Networ...
Hoogerheide, Lennart F. - 2006
credible sets. When approximating such contours using Monte Carlo integration methods like importance sampling or Markov chain … numerically efficient sampling. For this purpose we introduce neural networks which seem to be natural importance or candidate …
Persistent link: https://www.econbiz.de/10012734627
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The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
Grothe, Oliver - 2017
Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …
Persistent link: https://www.econbiz.de/10012970355