BAYESIAN ANALYSIS OF PANEL DATA BASED ON MCMC

摘要：

This paper developed a Bayesian method to analyze panel data by using the MTAR model. The key feature of the proposed method is that it can perform posterior estimation and interesting multiple hypotheses testing simultaneously by using a simple MCMC algorithm. It takes the advantages of Bayesian multiple hypotheses testing while avoiding the computational difficulties in posterior inference. The illustrative example of test of optimal Debt/Total Assets ratio shows practical usefulness of the propose method.

关键词： MCMC Threshold Autoregressive Posterior Estimation

作者: XIAO-TAO ZHANG

作者单位: School of Management, Tianjin University, Tianjin 300072, China

会议类型: 国际会议

会议名称: 2008 International Conference on Machine Learning and Cybernetics(2008机器学习与控制论国际会议)

会议地点: 昆明

会议语种:英文

页码: 1167-1171

在线出版日期: 2008-07-12（万方平台首次上网日期，不代表论文的发表时间）