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Bayesian estimation of non-stationary Markov models combining micro and macro data

  • Storm, Hugo
  • Heckelei, Thomas

In this poster a Bayesian estimation framework for a non-stationary Markov model is developed for situations where sample data with observed transition between classes (micro data) and aggregate population shares (macro data) are available. Posterior distributions on transition probabilities are derived based on a micro based prior and a macro based Likelihood function thereby consistently combining previously separated approaches. Monte Carlo simulations for ordered and unordered Markov states show how observed micro transitions improve precision of posterior knowledge as the sample size increases.

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File URL: http://purl.umn.edu/103645
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Paper provided by Agricultural and Applied Economics Association in its series 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania with number 103645.

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Date of creation: 24 Jul 2011
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Handle: RePEc:ags:aaea11:103645
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  1. Karantininis, Kostas, 2002. "Information-based estimators for the non-stationary transition probability matrix: an application to the Danish pork industry," Journal of Econometrics, Elsevier, vol. 107(1-2), pages 275-290, March.
  2. repec:cup:cbooks:9780521623940 is not listed on IDEAS
  3. MacRae, Elizabeth Chase, 1977. "Estimation of Time-Varying Markov Processes with Aggregate Data," Econometrica, Econometric Society, vol. 45(1), pages 183-98, January.
  4. Zimmermann, Andrea & Heckelei, Thomas, 2010. "Structural Change of European Dairy Farms- A Cross-Regional Analysis," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61006, Agricultural and Applied Economics Association.
  5. Ben Pelzer, 2002. "Bayesian estimation of transition probabilities from repeated cross sections," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(1), pages 23-33.
  6. Steven Scott, 2011. "Data augmentation, frequentist estimation, and the Bayesian analysis of multinomial logit models," Statistical Papers, Springer, vol. 52(1), pages 87-109, February.
  7. Silke Huettel & Roel Jongeneel, 2011. "How has the EU milk quota affected patterns of herd-size change?," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 38(4), pages 497-527, October.
  8. Heckelei, Thomas & Mittelhammer, Ronald C. & Jansson, Torbjorn, 2008. "A Bayesian Alternative To Generalized Cross Entropy Solutions For Underdetermined Econometric Models," Discussion Papers 56973, University of Bonn, Institute for Food and Resource Economics.
  9. D. L. Hawkins & Chien-Pai Han, 2000. "Estimating Transition Probabilities from Aggregate Samples Plus Partial Transition Data," Biometrics, The International Biometric Society, vol. 56(3), pages 848-854, 09.
  10. Gillian A. Lancaster & Mick Green & Steven Lane, 2006. "Reducing bias in ecological studies: an evaluation of different methodologies," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 169(4), pages 681-700.
  11. Andrés Musalem & Eric T. Bradlow & Jagmohan S. Raju, 2009. "Bayesian estimation of random‐coefficients choice models using aggregate data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(3), pages 490-516, 04.
  12. repec:cup:cbooks:9780521747387 is not listed on IDEAS
  13. Zimmermann, Andrea & Heckelei, Thomas, 2012. "Differences of farm structural change across European regions," Discussion Papers 162879, University of Bonn, Institute for Food and Resource Economics.
  14. Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
  15. repec:cup:cbooks:9780521766555 is not listed on IDEAS
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