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Bayesian Variants of Some Classical Semiparametric Regression Techniques

  • Koop, G.
  • Poirier, D.

This paper develops new Bayesian methods for semiparametric inference in the partial linear Normal regression model. These methodes draw solely on teh Normal linear regression model with natural conjugate prior. Hence, analytical finite sample results are available which do not suffer form problems of theoretical and computational complexity which plague the existing literature.

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Paper provided by California Irvine - School of Social Sciences in its series Papers with number 00-01-22.

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Length: 30 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:fth:calirv:00-01-22
Contact details of provider: Postal: UNIVERSITY OF CALIFORNIA IRVINE, SCHOOL OF SOCIAL SCIENCES, IRVINECALIFORNIA 91717 U.S.A.

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  1. Matzkin, Rosa L., 1986. "Restrictions of economic theory in nonparametric methods," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 42, pages 2523-2558 Elsevier.
  2. Iwata, Shigeru, 1996. "Bounding posterior means by model criticism," Journal of Econometrics, Elsevier, vol. 75(2), pages 239-261, December.
  3. Oliver LINTON, . "Applied nonparametric methods," Statistic und Oekonometrie 9312, Humboldt Universitaet Berlin.
  4. Fernandez, Carmen & Osiewalski, Jacek & Steel, Mark F. J., 1997. "On the use of panel data in stochastic frontier models with improper priors," Journal of Econometrics, Elsevier, vol. 79(1), pages 169-193, July.
  5. Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-41, April.
  6. Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
  7. Adonis Yatchew, 1998. "Nonparametric Regression Techniques in Economics," Journal of Economic Literature, American Economic Association, vol. 36(2), pages 669-721, June.
  8. John Xu Zheng, 1996. "A consistent test of functional form via nonparametric estimation techniques," Journal of Econometrics, Elsevier, vol. 75(2), pages 263-289, December.
  9. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-59, September.
  10. Poirier, Dale J., 1998. "Revising Beliefs In Nonidentified Models," Econometric Theory, Cambridge University Press, vol. 14(04), pages 483-509, August.
  11. Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-88, July.
  12. McCulloch, Robert & Rossi, Peter E., 1994. "An exact likelihood analysis of the multinomial probit model," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 207-240.
  13. Chib, Siddhartha, 1992. "Bayes inference in the Tobit censored regression model," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 79-99.
  14. Dale J. Poirier, 1995. "Intermediate Statistics and Econometrics: A Comparative Approach," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262161494, June.
  15. John F. Geweke & Michael P. Keane, 1997. "Mixture of normals probit models," Staff Report 237, Federal Reserve Bank of Minneapolis.
  16. Leamer, Edward E, 1982. "Sets of Posterior Means with Bounded Variance Priors," Econometrica, Econometric Society, vol. 50(3), pages 725-36, May.
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