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Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods / / Alin Mirestean, Charalambos Tsangarides, Huigang Chen
| Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods / / Alin Mirestean, Charalambos Tsangarides, Huigang Chen |
| Autore | Mirestean Alin |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (45 p.) |
| Altri autori (Persone) |
TsangaridesCharalambos
ChenHuigang |
| Collana | IMF Working Papers |
| Soggetto topico |
Panel analysis
Bayesian statistical decision theory Econometrics Data Processing Bayesian Analysis: General Estimation Data Collection and Data Estimation Methodology Computer Programs: General Bayesian inference Econometrics & economic statistics Data capture & analysis Bayesian models Estimation techniques Data processing Econometric models Electronic data processing |
| ISBN |
1-4623-7192-2
1-4527-1274-3 9786612842955 1-4518-7221-6 1-282-84295-1 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Model Uncertainty in the Bayesian Context; A. Model Selection and Hypothesis Testing; B. Bayesian Model Averaging; C. Choice of Priors; III. Limited Information Bayesian Model Averaging; A. A Dynamic Panel Data Model with Endogenous Regressors; B. Estimation and Moment Conditions; C. The Limited Information Criterion; IV. Monte Carlo Simualtions and Results; A. The Data Generating Process; B. Simulation Results; V. Conclusion; References; Tables; 1. Posterior Probability of the True Model; 2. Posterior Probability Ratio of True Model/Best among the Other Models
3. Probability of Retrieving the True Model4. Model Recovery: Medians and Variances of Posterior Inclusi; 5. Model Recovery: Medians and Variances of Estimated Paramet; 6. Posterior Probability of the True Model (Non-Gaussian Case); 7. Posterior Probability Ratio: True Model/best among the Other Models (Non-Gaussian Case); 8. Probability of Retrieving the True Model (Non-Gaussian Case); 9. Model Recovery: Medians and Variances of Posterior Inclusion Probability for Each Variable (Non-Gaussian Case); 10. Model Recovery: Medians and Variances of Estimated Parameter Values (Non- Gaussian Case) Appendix A Figures1. Posterior Densities for the Probabilities in Table 1; 2. Posterior Densities for the Probabilities in Table 2; 3. Box Plots for Parameters in Table 5; 4. Posterior Densities for the Probabilities in Table 6; 5. Posterior Densities for the Probabilities in Table 7; 6. Box Plots for Parameters in Table 10 |
| Record Nr. | UNINA-9910788337703321 |
Mirestean Alin
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods / / Alin Mirestean, Charalambos Tsangarides, Huigang Chen
| Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods / / Alin Mirestean, Charalambos Tsangarides, Huigang Chen |
| Autore | Mirestean Alin |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (45 p.) |
| Disciplina | 332.152 |
| Altri autori (Persone) |
TsangaridesCharalambos
ChenHuigang |
| Collana | IMF Working Papers |
| Soggetto topico |
Panel analysis
Bayesian statistical decision theory Econometrics Data Processing Bayesian Analysis: General Estimation Data Collection and Data Estimation Methodology Computer Programs: General Bayesian inference Econometrics & economic statistics Data capture & analysis Bayesian models Estimation techniques Data processing Econometric models Electronic data processing |
| ISBN |
1-4623-7192-2
1-4527-1274-3 9786612842955 1-4518-7221-6 1-282-84295-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Model Uncertainty in the Bayesian Context; A. Model Selection and Hypothesis Testing; B. Bayesian Model Averaging; C. Choice of Priors; III. Limited Information Bayesian Model Averaging; A. A Dynamic Panel Data Model with Endogenous Regressors; B. Estimation and Moment Conditions; C. The Limited Information Criterion; IV. Monte Carlo Simualtions and Results; A. The Data Generating Process; B. Simulation Results; V. Conclusion; References; Tables; 1. Posterior Probability of the True Model; 2. Posterior Probability Ratio of True Model/Best among the Other Models
3. Probability of Retrieving the True Model4. Model Recovery: Medians and Variances of Posterior Inclusi; 5. Model Recovery: Medians and Variances of Estimated Paramet; 6. Posterior Probability of the True Model (Non-Gaussian Case); 7. Posterior Probability Ratio: True Model/best among the Other Models (Non-Gaussian Case); 8. Probability of Retrieving the True Model (Non-Gaussian Case); 9. Model Recovery: Medians and Variances of Posterior Inclusion Probability for Each Variable (Non-Gaussian Case); 10. Model Recovery: Medians and Variances of Estimated Parameter Values (Non- Gaussian Case) Appendix A Figures1. Posterior Densities for the Probabilities in Table 1; 2. Posterior Densities for the Probabilities in Table 2; 3. Box Plots for Parameters in Table 5; 4. Posterior Densities for the Probabilities in Table 6; 5. Posterior Densities for the Probabilities in Table 7; 6. Box Plots for Parameters in Table 10 |
| Record Nr. | UNINA-9910812320003321 |
|
Mirestean Alin
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||