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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10011255610
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Detecting Serial Dependence in Tail Events
Diks, Cees - Tinbergen Instituut - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011255612
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A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood
Ardia, David; Basturk, Nalan; Hoogerheide, Lennart; … - Tinbergen Instituut - 2010
This discussion paper resulted in an article in <I>Computational Statistics & Data Analysis</I> (2012). Vol. 56(11), 3398-3414.<p> Strategic choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical...</p></i>
Persistent link: https://www.econbiz.de/10011255693
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2009
This discussion paper led to a publication in 'Computational Statistics & Data Analysis' 56(11), pp. 3398-1414.Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior...
Persistent link: https://www.econbiz.de/10011256285
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Bootstrapping the HEGY Seasonal Unit Root Tests
Taylor, Robert; Burridge, Peter - Econometric Society - 2004
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...
Persistent link: https://www.econbiz.de/10005130173
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Structural Error Correction Model: A Bayesian Perspective
Chua, Chew Lian; Summers, Peter - Econometric Society - 2004
This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of cointegration in the ECM, and the Bayesian methods of...
Persistent link: https://www.econbiz.de/10005063745
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Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
Kiviet, Jan F. - Tinbergen Instituut - 2005
competing estimators for dynamic panel data models. To illustrate particular pitfalls some further Monte Carlo results are … and two step generalized method of moments (GMM) estimators in homoskedastic stable zero-mean panel AR(1) models with …
Persistent link: https://www.econbiz.de/10011256693
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Instituut - 2006
Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance …
Persistent link: https://www.econbiz.de/10011256846
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A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables
Sauer, Robert M.; Keane, Michael P. - Econometric Society - 2004
This paper develops a new simulation estimation algorithm that is particularly useful for estimating dynamic panel data … sample period. Repeated sampling experiments on a dynamic panel data probit model with serially correlated errors indicate …
Persistent link: https://www.econbiz.de/10005342235
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Testing the Power of Panel Cointegration Tests When Frequency of the Data Changes: A Simulation Study
Iqbal, Azhar - Econometric Society - 2004
In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both …) types of cointegration tests in panel data), (ii) McCoskey and Kao (1998) Test (Residual based LM Test for cointegration in … panels), (iii) Pedroni (1997) Test, and (iv) Larsson, Lyhagen, and Lothgren (2001)?s likelihood-based (LR) panel test of …
Persistent link: https://www.econbiz.de/10005342288