Bayesian Model Comparison

Ivan Jeliazkov, Dale J. Poirier (Herausgeber)

Buch | Hardcover

390 Seiten

2014
Emerald Group Publishing Limited (Verlag)
978-1-78441-185-5 (ISBN)

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This volume of Advances in Econometrics 34 focusses on Bayesian model comparison. It reflects the recent progress in model building and evaluation that has been achieved in the Bayesian paradigm and provides new state-of-the-art techniques, methodology, and findings that should stimulate future research.

The volume contains articles that should appeal to readers with computational, modeling, theoretical, and applied interests. Methodological issues include parallel computation, Hamiltonian Monte Carlo, dynamic model selection, small sample comparison of structural models, Bayesian thresholding methods in hierarchical graphical models, adaptive reversible jump MCMC, LASSO estimators, parameter expansion algorithms, the implementation of parameter and non-parameter-based approaches to variable selection, a survey of key results in objective Bayesian model selection methodology, and a careful look at the modeling of endogeneity in discrete data settings. Important contemporary questions are examined in applications in macroeconomics, finance, banking, labor economics, industrial organization, and transportation, among others, in which model uncertainty is a central consideration.

Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments.
Model Switching and Model Averaging in Time-Varying Parameter Regression Models.
Assessing Bayesian Model Comparison in Small Samples.
Bayesian Selection of Systemic Risk Networks.
Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison.
Factor Selection in Dynamic Hedge Fund Replication Models: A Bayesian Approach.
Determining the Proper Specification for Endogenous Covariates in Discrete Data Settings.
Variable Selection in Bayesian Models: Using Parameter Estimation and Non Parameter Estimation Methods.
Intrinsic Priors for Objective Bayesian Model Selection.
Copyright page.
Bayesian Model Comparison.
List of Contributors.
Preface.
Advances in Econometrics.
Bayesian Model Comparison.
Demand Estimation with High-Dimensional Product Characteristics.
Copula Analysis of Correlated Counts.

Reihe/Serie	Advances in Econometrics
Verlagsort	Bingley
Sprache	englisch
Maße	152 x 229 mm
Gewicht	676 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Statistik
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	1-78441-185-X / 178441185X
ISBN-13	978-1-78441-185-5 / 9781784411855
Zustand	Neuware