Bayesian model comparison / edited by Ivan Jeliazkov, Dale J. Poirier.

Format:

Book

Contributor:

Jeliazkov, Ivan, 1973-

Poirier, Dale J.

Series:

Advances in econometrics ; v. 34.

Advances in econometrics, 0731-9053 ; v. 34

Language:

English

Subjects (All):

Econometric models.

Bayesian statistical decision theory.

Physical Description:

1 online resource (361 p.)

Edition:

First edition.

Place of Publication:

Bradford, [England] : Emerald Group Publishing Limited, 2014.

Language Note:

English

Summary:

This volume of Advances in econometrics is devoted to 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.

Contents:

Adaptive sequential posterior simulators for massively parallel computing environments / Garland Durham, John Geweke

Model switching and model averaging in time-varying parameter regression models / Miguel Belmonte, Gary Koop

Assessing Bayesian model comparison in small samples / Enrique Martínez-García, Mark A. Wynne

Bayesian selection of systemic risk networks / Daniel Felix Ahelegbey, Paolo Giudici

Parallel constrained Hamiltonian Monte Carlo for BEKK model comparison / Martin Burda

Factor selection in dynamic hedge fund replication models : a Bayesian approach / Guillaume Weisang

Determining the proper specification for endogenous covariates in discrete data settings / Angela Vossmeyer

Variable selection in Bayesian models : using parameter estimation and non parameter estimation methods / Gail Blattenberger, Richard Fowles, Peter D. Loeb

Intrinsic priors for objective Bayesian model selection / Elías Moreno, Luís Raúl Pericchi

Demand estimation with high-dimensional product characteristics / Benjamin J. Gillen, Matthew Shum, Hyungsik Roger Moon

Copula analysis of correlated counts / Esther Hee Lee.

Notes:

Description based upon print version of record.

Includes bibliographical references.

Print version record

ISBN:

9781784411848

1784411841