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An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression

In: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B

Author

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  • Justin L. Tobias
  • Joshua C. C. Chan

Abstract

We present a new procedure for nonparametric Bayesian estimation of regression functions. Specifically, our method makes use of an idea described in Frühwirth-Schnatter and Wagner (2010) to impose linearity exactly (conditional upon an unobserved binary indicator), yet also permits departures from linearity while imposing smoothness of the regression curves. An advantage of this approach is that the posterior probability of linearity is essentially produced as a by-product of the procedure. We apply our methods in both generated data experiments as well as in an illustrative application involving the impact of body mass index (BMI) on labor market earnings.

Suggested Citation

  • Justin L. Tobias & Joshua C. C. Chan, 2019. "An Alternate Parameterization for Bayesian Nonparametric/Semiparametric Regression," Advances in Econometrics, in: Topics in Identification, Limited Dependent Variables, Partial Observability, Experimentation, and Flexible Modeling: Part B, volume 40, pages 47-64, Emerald Group Publishing Limited.
    • Handle: RePEc:eme:aecozz:s0731-90532019000040b004
    DOI: 10.1108/S0731-90532019000040B004
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    Citations

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    Cited by:

    1. Murat K. Munkin, 2022. "Count Roy model with finite mixtures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1160-1181, September.

    More about this item

    Keywords

    Bayes; nonparametric; MCMC; shrinkage; smoothing; linearity testing; C11; I10; J11;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • I10 - Health, Education, and Welfare - - Health - - - General
    • J11 - Labor and Demographic Economics - - Demographic Economics - - - Demographic Trends, Macroeconomic Effects, and Forecasts

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