Showing 1 - 10 of 123
In contrast to a posterior analysis given a particular sampling model, posterior model probabilities in the context of model uncertainty are typically rather sensitive to the specification of the prior. In particular, "diffuse'' priors on model-specific parameters can lead to quite unexpected...
Persistent link: https://www.econbiz.de/10005407892
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is very spread among many models suggesting the superiority of BMA over choosing any single model. Out-of-sample predictive results...
Persistent link: https://www.econbiz.de/10005407952
Markov chain Monte Carlo (MCMC) methods have become a ubiquitous tool in Bayesian analysis. This paper implements MCMC methods for Bayesian analysis of stochastic frontier models using the WinBUGS package, a freely available software. General code for cross-sectional and panel data are presented...
Persistent link: https://www.econbiz.de/10005062542
Continuous-time stochastic volatility models are becoming a more and more popular way to describe moderate and high-frequency financial data. Recently, Barndorff-Nielsen and Shephard (2001a) proposed a class of models where the volatility behaves according to an Ornstein-Uhlenbeck process,...
Persistent link: https://www.econbiz.de/10005556307
We investigate the issue of model uncertainty in cross-country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is very spread among many models suggesting the superiority of BMA over choosing any single model. Out-of-sample predictive results...
Persistent link: https://www.econbiz.de/10005556336
In this paper we propose a semiparametric Bayesian framework for the analysis of stochastic frontiers and efficiency measurement. The distribution of inefficiencies is modelled nonparametrically through a Dirichlet process prior. We suggest prior distributions and implement a Bayesian analysis...
Persistent link: https://www.econbiz.de/10005556378
This paper describes a new method for assigning letter grades to students based on their raw scores, which I call Multi-Curve Grading (MCG). The intuition behind the method is that a class can be composed of several different subgroups, each of which should be assigned a different grade. In...
Persistent link: https://www.econbiz.de/10005119214
This paper examines the stability of the demand for money in nigeria. With relatively simple model specifying a vector valued autoregressive process(VAR), the hypothesis of the existence of cointegration vectors is formulated as the hypothesis of reduced rank of the longrun impact matrix. This...
Persistent link: https://www.econbiz.de/10005119093
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011995195
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...
Persistent link: https://www.econbiz.de/10011755318