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Posterior Simulation and Bayes Factors in Panel Count Data Models

  • Siddhartha Chib

    (Washington University)

  • Edward Greenberg

    (Washington University)

  • Rainer Winkelmann

    (University of Canterbury)

This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the random effects and fixed effects is proposed and compared with a parameterization in common use. Computation of marginal likelihoods and Bayes factors from the simulation output is also considered. The methods are illustrated with several real data applications involving large samples and multiple random effects. This version corrects some typographical errors in the earlier submission.

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Paper provided by EconWPA in its series Econometrics with number 9608003.

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Length: 27 pages
Date of creation: 26 Aug 1996
Date of revision: 25 Nov 1996
Handle: RePEc:wpa:wuwpem:9608003
Note: Type of Document - ; to print on PostScript; pages: 27
Contact details of provider: Web page: http://econwpa.repec.org

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  1. Richard Blundell & Rachel Griffith & John Van Reenen, 1994. "Dynamic count data models of technological innovation," IFS Working Papers W94/10, Institute for Fiscal Studies.
  2. Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
  3. Hausman, Jerry & Hall, Bronwyn H & Griliches, Zvi, 1984. "Econometric Models for Count Data with an Application to the Patents-R&D Relationship," Econometrica, Econometric Society, vol. 52(4), pages 909-38, July.
  4. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
  5. Brown, Sarah & Sessions, John G, 1996. " The Economics of Absence: Theory and Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 10(1), pages 23-53, March.
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