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Posterior Simulation and Bayes Factors in Panel Count Data Models

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Author Info
Siddhartha Chib (Washington University)
Edward Greenberg (Washington University)
Rainer Winkelmann (University of Canterbury)

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Abstract

This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the random effects and fixed effects is proposed and compared with a parameterization in common use. Computation of marginal likelihoods and Bayes factors from the simulation output is also considered. The methods are illustrated with several real data applications involving large samples and multiple random effects. This version corrects some typographical errors in the earlier submission.

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 9608003.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 27 pages
Date of creation: 26 Aug 1996
Date of revision: 25 Nov 1996
Handle: RePEc:wpa:wuwpem:9608003

Note: Type of Document - ; to print on PostScript; pages: 27
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Related research
Keywords: Bayes factor; Count data; Gibbs sampling; Importance sampling; Marginal likelihood; Metropolis-Hastings algorithm; Markov chain Monte Carlo; Poisson regression.;

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Blundell, Richard & Griffith, Rachel & Van Reenen, John, 1995. "Dynamic Count Data Models of Technological Innovation," Economic Journal, Royal Economic Society, vol. 105(429), pages 333-44, March. [Downloadable!] (restricted)
    Other versions:
  2. Jerry A. Hausman & Bronwyn H. Hall & Zvi Griliches, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," NBER Technical Working Papers 0017, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Brown, Sarah & Sessions, John G, 1996. " The Economics of Absence: Theory and Evidence," Journal of Economic Surveys, Blackwell Publishing, vol. 10(1), pages 23-53, March.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. B.P.M. McCabe & G.M. Martin, 2003. "Coherent Predictions of Low Count Time Series," Monash Econometrics and Business Statistics Working Papers 8/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  2. William Greene, 2001. "Fixed and Random Effects in Nonlinear Models," Working Papers 01-01, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
    Other versions:
  3. Klaus Moeltner & James J. Murphy & John K. Stranlund & Maria Alejandra Velez, 2007. "Processing Data from Social Dilemma Experiments: A Bayesian Comparison of Parametric Estimators," Working Papers 07-013, University of Nevada, Reno, Department of Economics & University of Nevada, Reno , Department of Resource Economics. [Downloadable!]
  4. Tong Li & Xiaoyong Zheng, 2006. "Entry and competition effects in first-price auctions: theory and evidence from procurement auctions," CeMMAP working papers CWP13/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
  5. Hübler, Olaf, 2005. "Panel Data Econometrics: Modelling and Estimation," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-319, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
  6. Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
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