BAYESIAN INFERENCE FOR STATE SPACE MODEL WITH PANEL DATA

Publications

Share / Export Citation / Email / Print / Text size:

Statistics in Transition New Series

Polish Statistical Association

Central Statistical Office of Poland

Subject: Economics, Statistics & Probability

GET ALERTS

ISSN: 1234-7655
eISSN: 2450-0291

DESCRIPTION

16
Reader(s)
21
Visit(s)
0
Comment(s)
0
Share(s)

SEARCH WITHIN CONTENT

FIND ARTICLE

Volume / Issue / page

Related articles

VOLUME 17 , ISSUE 2 (June 2016) > List of articles

BAYESIAN INFERENCE FOR STATE SPACE MODEL WITH PANEL DATA

Ranjita Pandey * / Anoop Chaturvedi *

Keywords : Bayesian analysis, Gibbs sampler, conditional posterior densities, predictive distribution

Citation Information : Statistics in Transition New Series. Volume 17, Issue 2, Pages 211-219, DOI: https://doi.org/10.21307/stattrans-2016-014

License : (CC BY 4.0)

Published Online: 06-July-2017

ARTICLE

ABSTRACT

The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making.

Content not available PDF Share

FIGURES & TABLES

REFERENCES

  1. BALTAGI, B. H., (2008). Econometric analysis of panel data. Wiley.
  2. CHAMBERLAIN, G., (1982). Multivariate regression models for panel data, Journal of Econometrics 18, No. 1.
    [CROSSREF]
  3. HAUSMAN, J., (1978). Specification tests in econometrics. Econometrica 46, No. 6.
    [CROSSREF]
  4. HAUSMAN, J., TAYLOR, W., (1981). Panel data and unobservable individual effects. Econometrica 49, No. 6.
    [CROSSREF]
  5. MADDALA, G. S., (1971). The use of variance components models in pooling cross-section and time series data. Econometrica 39, No. 2.
    [CROSSREF]
  6. MUNDLAK, Y., (1978). On the pooling of time series and cross section data. Econometrica 46, No. 1.
    [CROSSREF]
  7. TIWARI, R. C., YANG, Y., ZALKIKAR, J. N., (1996). Time series analysis of BOD data using the Gibbs sampler. Enviormetrics 7: 567−78.
    [CROSSREF]

EXTRA FILES

COMMENTS