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Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …

Persistent link: https://www.econbiz.de/10011380176

Speeding up MCMC by delayed acceptance and data subsampling

Quiroz, Matias - 2015

We propose a generic Markov Chain Monte Carlo (MCMC) algorithm to speed up computations for datasets with many observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling literature to estimate the log-likelihood accurately using...

Persistent link: https://www.econbiz.de/10011300362

Scalable MCMC for large data problems using data subsampling and the difference estimator

Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015

Persistent link: https://www.econbiz.de/10011300365

A multinomial probit model with latent factors : identification and interpretation without a measurement system

Piatek, Rémi; Gensowski, Miriam - 2017

We develop a parametrization of the multinomial probit model that yields greater insight into the underlying decision-making process, by decomposing the error terms of the utilities into latent factors and noise. The latent factors are identified without a measurement system, and they can be...

Persistent link: https://www.econbiz.de/10011732373

Bayesian Estimation of a Simultaneous Probit Model Using Error Augmentation : An Application to Multi-Buying and Churning Behavior

Balachander, Subramanian; Ghosh, Bikram - 2014

error augmentation approach to Hierarchical Bayesian estimation of a simultaneous bivariate probit model containing both …

Persistent link: https://www.econbiz.de/10014039148

An exponential endogenous switching regression with correlated random coefficients

Keay, Myoung-Jin - In: Econometrics : open access journal 10 (2022) 1, pp. 1-16

This paper presents a method for estimating the average treatment effects (ATE) of an exponential endogenous switching model where the coefficients of covariates in the structural equation are random and correlated with the binary treatment variable. The estimating equations are derived under...

Persistent link: https://www.econbiz.de/10012804937

Estimating Endogenous Ordered Response Panel Data Models with an Application to Income Gradient in Child Health

Lahiri, Kajal; Yang, Liu - 2022

In this paper, a control function approach is developed to deal with endogeneity issue in estimating panel data models with ordered response. This methodology is characterized by a two-step procedure, requiring only standard regression to be implemented in each step. To demonstrate the...

Persistent link: https://www.econbiz.de/10013300934

Determinants and Costs of Current Account Reversals Under Heterogeneity and Serial Correlation

Aßmann, Christian - 2007

Recent empirical evidence suggests that reversing current account balances imply costly adjustment processes leading to reduced economic growth. Using large panel data sets to analyze determinants and costs of reversals asks for controls of heterogeneity among countries. This paper contributes a...

Persistent link: https://www.econbiz.de/10014225511

Econometrics

Bauwens, Luc; Rombouts, J. V. K. - 2005

This chapter reviews econometric models for which statistical inference requires intensive numerical computations. A common feature of such models is that they incorporate unobserved (or latent) variables, in addition to observed ones. This often implies that the latent variables have to be...

Persistent link: https://www.econbiz.de/10014066095

Estimation of linear models from coarsened observations : a method of moments approach

Praag, Bernard M. S. van; Hop, J. Peter; Greene, William - 2024

single-equation models estimation of the latent linear model by Maximum Likelihood (ML) is routine. But, for higher … -dimensional multivariate models it is computationally cumbersome as estimation requires the evaluation of multivariate normal … distribution functions on a large scale. Our proposed alternative estimation method, based on the Generalized Method of Moments …

Persistent link: https://www.econbiz.de/10015149529