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Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

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Author Info
Luc Bauwens
Michel Lubrano

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Abstract

We 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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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
Pages: 469-486
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Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:469-486

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Related research
Keywords: Bayesian inference; Credit rationing; Data augmentation; Disequilibrium model; Latent variables; Poland;

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References listed on IDEAS
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  1. Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July. [Downloadable!] (restricted)
  2. Shen, Chung-Hua, 2002. "Credit Rationing for Bad Companies in Bad Years: Evidence from Bank Loan Transaction Data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 261-78, July. [Downloadable!] (restricted)
  3. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June. [Downloadable!] (restricted)
  4. Aurora Manrique & Neil Shephard, 1998. "Simulation-based likelihood inference for limited dependent processes," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C174-C202.
  5. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-30, November. [Downloadable!] (restricted)
  6. Berg, Andreas & Meyer, Renate & Yu, Jun, 2004. "Deviance Information Criterion for Comparing Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 107-20, January.
  7. Kim, Hyun E., 1999. "Was the credit channel a key monetary transmission mechanism following the recent financial crisis in the Republic of Korea?," Policy Research Working Paper Series 2103, The World Bank. [Downloadable!]
  8. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June. [Downloadable!] (restricted)
  9. Steven Wei, 1999. "A bayesian approach to dynamic tobit models," Econometric Reviews, Taylor and Francis Journals, vol. 18(4), pages 417-439. [Downloadable!] (restricted)
  10. Dagenais, Marcel G., 1982. "The Tobit model with serial correlation," Economics Letters, Elsevier, vol. 10(3-4), pages 263-267. [Downloadable!] (restricted)
  11. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation, Yale University. [Downloadable!]
  12. Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 65(3), pages 361-93, July. [Downloadable!] (restricted)
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  13. Laroque, Guy & Salanie, B, 1993. "Simulation-Based Estimation of Models with Lagged Latent Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S119-33, Suppl. De. [Downloadable!] (restricted)
  14. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99. [Downloadable!] (restricted)
  15. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika van der Linde, 2002. "Bayesian measures of model complexity and fit," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639. [Downloadable!] (restricted)
  16. Sneessens, Henri R., 1985. "Two alternative stochastic specification and estimation methods for quantity rationing models : A Monte-Carlo comparison," European Economic Review, Elsevier, vol. 29(1), pages 111-136. [Downloadable!] (restricted)
  17. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
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