IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article

Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

  • Luc Bauwens
  • Michel Lubrano

We propose a Bayesian approach for inference in a dynamic disequilibrium model. To circumvent the difficulties raised by the Maddala and Nelson (1974) specification in the dynamic case, we analyze a dynamic extended version of the disequilibrium model of Ginsburgh et al. (1980). We develop a Gibbs sampler based on the simulation of the missing observations. The feasibility of the approach is illustrated by an empirical analysis of the Polish credit market, for which we conduct a specification search using the posterior deviance criterion of Spiegelhalter et al. (2002).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.tandfonline.com/doi/abs/10.1080/07474930701220634
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 26 (2007)
Issue (Month): 2-4 ()
Pages: 469-486

as
in new window

Handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:469-486
Contact details of provider: Web page: http://www.tandfonline.com/LECR20

Order Information: Web: http://www.tandfonline.com/pricing/journal/LECR20

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.:

as in new window
  1. Berg, Andreas & Meyer, Renate & Yu, Jun, 2004. "Deviance Information Criterion for Comparing Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 107-20, January.
  2. Dagenais, Marcel G., 1982. "The Tobit model with serial correlation," Economics Letters, Elsevier, vol. 10(3-4), pages 263-267.
  3. Victor Ginsburgh & Asher Tishler & ISRAEL Zang, 1980. "Alternative estimation methods for two regime models: a mathematical programming approach," ULB Institutional Repository 2013/151081, ULB -- Universite Libre de Bruxelles.
  4. Sneessens, Henri R., 1985. "Two alternative stochastic specification and estimation methods for quantity rationing models : A Monte-Carlo comparison," European Economic Review, Elsevier, vol. 29(1), pages 111-136.
  5. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
  6. Christophe Hurlin & Rafal Kierzenkowski, 2002. "A Theoretical and Empirical Assessment of the Bank Lending Channel and Loan Market Disequilibrium in Poland," National Bank of Poland Working Papers 22, National Bank of Poland, Economic Institute.
  7. Shen, Chung-Hua, 2002. "Credit Rationing for Bad Companies in Bad Years: Evidence from Bank Loan Transaction Data," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 7(3), pages 261-78, July.
  8. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
  9. Sylvanus Ikhide, 2003. "Was There a Credit Crunch in Namibia Between 1996-2000?," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 269-290, November.
  10. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
  11. Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
  12. Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October.
  13. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
  14. Laroque, Guy & Salanie, B, 1993. "Simulation-Based Estimation of Models with Lagged Latent Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S119-33, Suppl. De.
  15. David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika van der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639.
  16. Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
  17. Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July.
  18. Aurora Manrique & Neil Shephard, 1998. "Simulation-based likelihood inference for limited dependent processes," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C174-C202.
  19. James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
  20. Adolfo Barajas & Roberto Steiner, 2002. "Credit Stagnation in Latin America," IMF Working Papers 02/53, International Monetary Fund.
  21. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-30, November.
  22. Kim, Hyun E., 1999. "Was the credit channel a key monetary transmission mechanism following the recent financial crisis in the Republic of Korea?," Policy Research Working Paper Series 2103, The World Bank.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:26:y:2007:i:2-4:p:469-486. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.