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This paper presents a comprehensive review and comparison of five computational methods for Bayesian model selection, based on MCMC simulations from posterior model parameter distributions. We apply these methods to a well-known and important class of models in financial time series analysis,...
Persistent link: https://www.econbiz.de/10005844729
In this paper we head for a fully Bayesian analysis of the latent class model with a priori unknown number of classes. Estimation is carried out by means of Markov Chain Monte Carlo (MCMC) methods. We deal explicitely with the consequences the unidentifiability of this type of model has on MCMC...
Persistent link: https://www.econbiz.de/10005844780
In the present paper we consider Bayesian estimation of a finite mixture of models with random effects which is also known as the heterogeneity model. First, we discuss the properties of various MCMC samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing.(...)
Persistent link: https://www.econbiz.de/10005844781
In this paper we carry out fully Bayesian analysis of the general heterogeneity model, which is a mixture of random effects model, and its special cases, the random coefficient model and the latent class model. Our application comes from Conjoint analysis and we are especially interested in what...
Persistent link: https://www.econbiz.de/10005844809
In this article we use spatial birth-death processes to estimate the number of states k of a switching model. Following Preston (1976) and Stephens (1998) matching the detailed balance condition for the underlying birth-death process results in an unique invariant probability measure with the...
Persistent link: https://www.econbiz.de/10005841655
This paper examines the IPO pricing processes of two different markets, each of which employs bookbuilding methods for marketing the IPO shares. For each market we investigate two questions:(...)
Persistent link: https://www.econbiz.de/10005844736
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