Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market
AbstractWe review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of stimulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identification issues are discussed. We conduct a specification search using the posterior deviance criterion of Spiegelhalter, Best, Carlin, and van der Linde (2002) for a disequilibrium model of the Polish credit market.
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Bibliographic InfoPaper provided by Université catholique de Louvain, Département des Sciences Economiques in its series Discussion Papers (ECON - Département des Sciences Economiques) with number 2006027.
Date of creation: 01 May 2006
Date of revision:
Latent variables; Disequilibrium models; Bayesian inference; Gibbs sampler; Credit rationing;
Other versions of this item:
- Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
- 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).
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-04 (All new papers)
- NEP-ECM-2006-11-04 (Econometrics)
- NEP-MAC-2006-11-04 (Macroeconomics)
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