On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

Author Info

Michiel D. de Pooter () (Faculty of Economics, Erasmus Universiteit Rotterdam)
René Segers () (Faculty of Economics, Erasmus Universiteit Rotterdam)
Herman K. van Dijk () (Faculty of Economics, Erasmus Universiteit Rotterdam)

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Abstract

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model and as Hierarchical Linear Mixed Models, the State-Space model and the Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance components, in particular when some parameter have substantial posterior probability near the boundary of the parameter region, and show that one should carefully scan the shape of the posterior density function. Analytical, graphical and empirical results are used along the way.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 06-076/4.

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Date of creation: 31 Aug 2006
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Handle: RePEc:dgr:uvatin:20060076

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

This paper has been announced in the following NEP Reports:

NEP-ALL-2006-09-16 (All new papers)
NEP-ECM-2006-09-16 (Econometrics)
NEP-ETS-2006-09-16 (Econometric Time Series)
NEP-KNM-2006-09-16 (Knowledge Management & Knowledge Economy)

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Other versions:
- Gary Koop & Herman K. van Dijk, 1999. "Testing for Integration using Evolving Trend and Seasonals Models: A Bayesian Approach," Tinbergen Institute Discussion Papers 99-072/4, Tinbergen Institute. [Downloadable!]
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Other versions:
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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Other versions:
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Other versions:
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Other versions:
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Other versions:
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repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
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