An Introduction to Modern Bayesian Econometrics

By T. Lancaster. 2004

367 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/112f89acfc59b7d94c7e040b1544c6230eb8e13c

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Citations in the corpus

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (2006, methodology): “…MCMC software called BUGS (Bayesian analysis using Gibbs sampler) developed by Spiegelhalter et al. (1996).1 Since then, BUGS has been employed to estimate univariate SV models in a number of studies (for example, Berg et al., 2004; Lancaster, 2004; Meyer et al., 2003; Selçuk, 2004; Yu, 2005).”
Programming With Models: Writing Statistical Algorithms for General Model Structures With NIMBLE (2015, unknown): “Many books use BUGS to teach Bayesian statistical modeling (e.g., Lancaster, 2004; Kery and Schaub, 2011; Vidakovic, 2011), and domain scientists ﬁnd that it helps them to reason clearly about models (Kery and Schaub, 2011).”
Ownership versus Management Effects on Performance in Family and Founder Companies: A Bayesian Reconciliation (2011, unknown): “Following convention (Lancaster, 2004), we report in this paper the 90%credible intervals for those coefficients related to our hypotheses.”
Bayesian Instrumental Variables: Priors and Likelihoods (2014, background): “For a discussion of Bayesian approaches to IV and many examples in Economics and Marketing, see Lancaster (2004) and Rossi, Allenby and McCulloch (2005).”
Quantification of model uncertainty: Calibration, model discrepancy, and identifiability (2012, background): “Identifiability refers to whether the single true value of a model’s calibration parameters can theoretically be inferred [6] based on the available data.”
Contemporary Bayesian Econometrics and Statistics (2005, background): “This idea dates at least to Lindgren (1978); early Bayesian treatments include Albert and Chib (1993a), McCulloch and Tsay (1994), and Chib (1996).”
Wearout Effects of Different Advertising Themes: A Dynamic Bayesian Model of the Advertising-Sales Relationship (2007, background): “Lancaster (2004) assumes that the prior is independent of the coefficient of the endogenous variable while Rossi et al. (2005) do not, which we believe is more reasonable.”
Robust priors in nonlinear panel data models (2007, background): “Let then p(θ) = QN i=1 exp £ T`i (θ) ¤ R nQN i=1 exp [T` I i (θ)] o dθ (31)”