Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market
We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the diffculties of simulating dynamic latent variables in a Gibbs sampler. We propose an alternative speciﬁcation of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identiﬁcation issues are discussed. We conduct a speciﬁcation search using the posterior deviance criterion of Spiegelhalter, Best, Carlin and van der Linde (2002) for a disequilibrium model of the Polish credit market.
(This abstract was borrowed from another version of this item.)
|Date of creation:|
|Date of revision:|
|Note:||In : Econometric Reviews, 26(2-4), 469-486, 2007|
|Contact details of provider:|| Postal: |
Fax: +32 10474304
Web page: http://www.uclouvain.be/coreEmail:
More information through EDIRC
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.:
- James Tobin, 1956. "Estimation of Relationships for Limited Dependent Variables," Cowles Foundation Discussion Papers 3R, Cowles Foundation for Research in Economics, Yale University.
- Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
- 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.
- Adolfo Barajas & Roberto Steiner, 2002. "Credit Stagnation in Latin America," IMF Working Papers 02/53, International Monetary Fund.
- 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.
- 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.
- 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.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, .
"Stochastic volatility: likelihood inference and comparison with ARCH models,"
W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- SNEESSENS, Henri R., .
"Two alternative stochastic specification and estimation methods for quantity rationing models. A Monte-Carlo comparison,"
CORE Discussion Papers RP
-660, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- 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.
- Ginsburgh, Victor & Tishler, Asher & Zang, Israel, 1980.
"Alternative estimation methods for two-regime models : A mathematical programming approach,"
European Economic Review,
Elsevier, vol. 13(2), pages 207-228, March.
- 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.
- Victor Ginsburgh & Asher Tishler & ISRAEL Zang, 1980. "Alternative estimation methods for two regime models: a mathematical programming approach," ULB Institutional Repository 2013/1771, ULB -- Universite Libre de Bruxelles.
- Lee, Lung-fei, 1999. "Estimation of dynamic and ARCH Tobit models," Journal of Econometrics, Elsevier, vol. 92(2), pages 355-390, October.
- 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.
- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(4), pages 371-89, October.
- Tom Doan, . "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
- 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.
- Aurora Manrique & Neil Shephard, 1998. "Simulation-based likelihood inference for limited dependent processes," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C174-C202.
- Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.
- Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July.
- 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.
- Dagenais, Marcel G., 1982. "The Tobit model with serial correlation," Economics Letters, Elsevier, vol. 10(3-4), pages 263-267.
- 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.
When requesting a correction, please mention this item's handle: RePEc:cor:louvrp:-1918. 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: (Alain GILLIS)
If references are entirely missing, you can add them using this form.