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Bayesian inference for duration data with unobserved and unknown heterogeneity : Monte Carlo evidence and an application

Paserman, Marco Daniele - 2004

This paper describes a semiparametric Bayesian method for analyzing duration data. The proposed estimator specifies a complete functional form for duration spells, but allows flexibility by introducing an individual heterogeneity term, which follows a Dirichlet mixture distribution. I show how...

Persistent link: https://www.econbiz.de/10010276176

Exponent of cross-sectional dependence: Estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10010282124

Climbing the drug staircase: a Bayesian analysis of the initiation of hard drug use

Bretteville-Jensen, Anne Line; Jacobi, Liana - 2008

different policy implications. We propose a Bayesian estimation and predictive framework to analyze the effects and relative …

Persistent link: https://www.econbiz.de/10010269113

Returns to compulsory schooling in Britain: Evidence from a Bayesian fuzzy regression discontinuity analysis

Chib, Siddhartha; Jacobi, Liana - 2011

In this paper we reevaluate the returns to education based on the increase in the compulsory schooling age from 14 to 15 in the UK in 1947. We provide a Bayesian fuzzy regression discontinuity approach to infer the effect on earnings for a subset of subjects who turned 14 in a narrow window...

Persistent link: https://www.econbiz.de/10010278476

On identification of Bayesian DSGE models

Koop, Gary; Pesaran, Hashem; Smith, Ron P. - 2011

In recent years there has been increasing concern about the identification of parameters in dynamic stochastic general equilibrium (DSGE) models. Given the structure of DSGE models it may be difficult to determine whether a parameter is identified. For the researcher using Bayesian methods, a...

Persistent link: https://www.econbiz.de/10010278760

Bayesian procedures as a numerical tool for the estimation of dynamic discrete choice models

Haan, Peter; Kemptner, Daniel; Uhlendorff, Arne - 2012

apply Bayesian procedures as a numerical tool for the estimation of a female labor supply model based on a sample size which … assumptions which are consistent with economic theory, e.g. log-normally distributed consumption preferences, the Bayesian method … Bayesian procedures can be a beneficial tool for the estimation of dynamic discrete choice models. …

Persistent link: https://www.econbiz.de/10010282308

A Structural Empirical Model of Firm Growth, Learning, and Survival

Abbring, Jaap H.; Campbell, Jeffrey R. - 2003

We present a structural model of firm growth, learning, and survival and consider its identification and estimation. In …

Persistent link: https://www.econbiz.de/10010262756

Produce or speculate? Asset bubbles, occupational choice and efficiency

Cahuc, Pierre; Challe, Edouard - 2009

We study the macroeconomic effects of rational asset bubbles in an overlapping-generations economy where asset trading requires specialized intermediaries and where agents freely choose between working in the production or in the financial sector. Frictions in the market for deposits create...

Persistent link: https://www.econbiz.de/10010269510

Predictability of asset returns and the efficient market hypothesis

Pesaran, Mohammad Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10010276268

To see is to believe: Common expectations in experimental asset markets

Cheung, Stephen L.; Hedegaard, Morten; Palan, Stefan - 2012

We challenge the recent claim that mispricing in the experimental asset markets introduced by Smith, Suchanek, and Williams (1988) is merely an artefact of confusion over declining fundamental value, and can be eliminated through appropriate training. We instead propose that when training is...

Persistent link: https://www.econbiz.de/10010289899