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Marginal Likelihood Estimation with the Cross-Entropy Method

Chan, Joshua C C; Eisenstat, Eric - Crawford School of Public Policy, Australian National … - 2012

We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...

Persistent link: https://www.econbiz.de/10011201593

Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean

Chan, Joshua C.C.; Grant, Angelia L. - Crawford School of Public Policy, Australian National … - 2015

The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK...

Persistent link: https://www.econbiz.de/10011203193

Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion

Chan, Joshua C.C.; Grant, Angelia L. - Crawford School of Public Policy, Australian National … - 2014

The deviance information criterion (DIC) has been widely used for Bayesian model comparison. In particular, a popular metric for comparing stochastic volatility models is the DIC based on the conditional likelihood—obtained by conditioning on the latent variables. However, some recent studies...

Persistent link: https://www.econbiz.de/10011031841

Fast Computation of the Deviance Information Criterion for Latent Variable Models

Chan, Joshua C.C.; Grant, Angelia L. - Crawford School of Public Policy, Australian National … - 2014

The deviance information criterion (DIC) has been widely used for Bayesian model comparison. However, recent studies have cautioned against the use of the DIC for comparing latent variable models. In particular, the DIC calculated using the conditional likelihood (obtained by conditioning on the...

Persistent link: https://www.econbiz.de/10010904329

Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods

Hsaio, Cheng; Pesaran, M. Hashem; Tahmiscioglu, A. Kamil - Faculty of Economics, University of Cambridge - 1998

A transformed likelihood approach is suggested to estimate fixed effects dynamic panel data models. Conditions on the …

Persistent link: https://www.econbiz.de/10005783800

On The Panel Unit Root Tests Using Nonlinear Instrumental Variables

Im, K.S.; Pesaran, M.H. - Faculty of Economics, University of Cambridge - 2003

This paper re-examines the panel unit root tests proposed by Chang (2002). She establishes asymptotic independence of … series are cross sectionally dependent. She claims that her non-linear instrumental variable (NIV) panel unit root test is … valid under general error cross correlations for any N (the cross section dimension) as T (the time dimension of the panel …

Persistent link: https://www.econbiz.de/10005113752

Does Weather Have an Impact on Electricity Distribution Efficiency? Evidence from South America

Anaya, Karim L.; Pollitt, Michael G. - Faculty of Economics, University of Cambridge - 2014

This paper analyses the influence of weather variables on the efficiency of electricity distribution utilities in Argentina, Brazil, Chile and Peru. The data covers 82 firms that operate in the previously mentioned countries which represent more than 90 per cent of the distribution market of...

Persistent link: https://www.econbiz.de/10010949352

The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling

Chan, Joshua C.C. - Crawford School of Public Policy, Australian National … - 2015

This paper generalizes the popular stochastic volatility in mean model of Koopman and Hol Uspensky (2002) to allow for time-varying parameters in the conditional mean. The estimation of this extension is nontrival since the volatility appears in both the conditional mean and the conditional...

Persistent link: https://www.econbiz.de/10011203194

Fuel Panics - insights from spatial agent-based simulation

Upton, Eben; Nuttall, William J. - Faculty of Economics, University of Cambridge - 2013

The United Kingdom has twice suffered major disruption as a result of fuel panics first in September 2000 coincident with a wave of fuel protests and more recently in March 2012 following politcal warnings of possible future supply chain disruption. In each case the disruption and economic...

Persistent link: https://www.econbiz.de/10010700222

SHOCKS AND SYSTEMIC INFLUENCES: CONTAGION IN GLOBAL EQUITY MARKETS IN 1998

Dungey, Mardi; Fry, Renee; Gonzales-Hermosillo, Brenda; … - Crawford School of Public Policy, Australian National … - 2005

emanating from the Russia crisis of 1998, and the LTCM near collapse, using a panel of 10 emerging and developed financial …

Persistent link: https://www.econbiz.de/10010607786