IDEAS home Printed from https://ideas.repec.org/a/kap/compec/v17y2001i2-3p265-84.html

Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods

Author

Listed:
  • Odejar, Maria Ana E
  • McNulty, Mark S

Abstract

This study develops Bayesian methods for estimating the parameters of a stochastic switching regression model. Markov Chain Monte Carlo methods, data augmentation, and Gibbs sampling are used to facilitate estimation of the posterior means. The main feature of these methods is that the posterior means are estimated by the ergodic averages of samples drawn from conditional distributions, which are relatively simple in form and more feasible to sample from than the complex joint posterior distribution. A simulation study is conducted comparing model estimates obtained using data augmentation, Gibbs sampling, and the maximum likelihood EM algorithm and determining the effects of the accuracy of and bias of the researcher's prior distributions on the parameter estimates. Copyright 2001 by Kluwer Academic Publishers

Suggested Citation

  • Odejar, Maria Ana E & McNulty, Mark S, 2001. "Bayesian Analysis of the Stochastic Switching Regression Model Using Markov Chain Monte Carlo Methods," Computational Economics, Springer;Society for Computational Economics, vol. 17(2-3), pages 265-284, June.
    • Handle: RePEc:kap:compec:v:17:y:2001:i:2-3:p:265-84
    as

    Download full text from publisher

    File URL: http://journals.kluweronline.com/issn/0927-7099/contents
    Download Restriction: Access to the full text of the articles in this series is restricted.
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or

    for a different version of it.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ya-Chen Shih & Nebiyou Bekele & Ying Xu, 2007. "Use of Bayesian Net Benefit Regression Model to Examine the Impact of Generic Drug Entry on the Cost Effectiveness of Selective Serotonin Reuptake Inhibitors in Elderly Depressed Patients," PharmacoEconomics, Springer, vol. 25(10), pages 843-862, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:17:y:2001:i:2-3:p:265-84. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.