This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter...

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation of the fixed effect proposed by Lancaster (2002)....

In the context of an autoregressive panel data model with fixed effect, we examine the relationship between consistent parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the transformation of the fixed effect proposed by Lancaster...