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Bayesian Analysis of Econometrics Systems with Discrete Variables and Inequality Constraints

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Author Info

  • Asli Ogunc

    ()
    (Louisiana State University)

  • Dek Terrell

    ()
    (Louisiana State University)

  • R. Carter Hill

    ()
    (Louisiana State University)

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    Abstract

    In econometric models, sign or inequality constraints on parameters arise in a wide variety of applications. In this paper, we incorporate linear and nonlinear inequality constraints into systems of equations with both discrete and continuous variables serving as the dependent variables. The posterior sample is generated using Gibbs and Metropolis algorithms with data augmentation. One illustrative example analyzes the choice between fixed and adjustable mortgage rates with inequality restrictions on the financial and borrower characteristics. A second application focuses on certification and performance of auditors.

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    File URL: http://www.bus.lsu.edu/economics/faculty/dterrell/cef99.pdf
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    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 834.

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    Date of creation: 01 Mar 1999
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    Handle: RePEc:sce:scecf9:834

    Contact details of provider:
    Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA
    Fax: +1-617-552-2308
    Web page: http://fmwww.bc.edu/CEF99/
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