Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market
AbstractWe propose a Bayesian approach for inference in a dynamic disequilibrium model. To circumvent the difficulties raised by the Maddala and Nelson (1974) specification in the dynamic case, we analyze a dynamic extended version of the disequilibrium model of Ginsburgh et al. (1980). We develop a Gibbs sampler based on the simulation of the missing observations. The feasibility of the approach is illustrated by an empirical analysis of the Polish credit market, for which we conduct a specification search using the posterior deviance criterion of Spiegelhalter et al. (2002).
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
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Other versions of this item:
- BAUWENS, Luc & LUBRANO, Michel, . "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," CORE Discussion Papers RP -1918, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LUBRANO, Michel, 2006. "Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market," CORE Discussion Papers 2006050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc, BAUWENS & Michel, LUBRANO, 2006. "Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market," Discussion Papers (ECON - DÃ©partement des Sciences Economiques) 2006027, Université catholique de Louvain, Département des Sciences Economiques.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
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