Arbeitspapier
Parametric covariance matrix modeling in Bayesian panel regression
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including model uncertainty is described. The needed tools, relying on various Markov chain Monte Carlo techniques, are developed and direct sampling, with and without effect selection, is illustrated.
- Language
-
Englisch
- Bibliographic citation
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Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 565
- Classification
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Computational Techniques; Simulation Modeling
- Subject
-
Bayesian panel regression
parametric covariance
model selection
Bayes-Statistik
Panel
Nichtparametrisches Verfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Salabasis, Mickael
- Event
-
Veröffentlichung
- (who)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Salabasis, Mickael
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2004
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