Template-Type: ReDIF-Paper 1.0
Author-Name: de Pooter, M.D.
Author-Name-Last: de Pooter
Author-Name-First: Michiel
Author-Person: pde371
Author-Name: Segers, R.
Author-Name-Last: Segers
Author-Name-First: René
Author-Person: pse130
Author-Name: van Dijk, H.K.
Author-Name-Last: van Dijk
Author-Name-First: Herman
Author-Person: pva325
Title: Gibbs sampling in econometric practice
Abstract: We present a road map for effective application of Bayesian analysis of a class of well-known  dynamic econometric models by means of the Gibbs sampling algorithm. Members belonging to this class are the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model and as Hierarchical Linear Mixed Models, the State-Space model and the Panel Data model. We discuss issues involved when drawing Bayesian inference on equation parameters and variance components and show that one should carefully scan the shape of the criterion function for irregularities before applying the Gibbs sampler. Analytical, graphical and empirical results are used along the way.
Creation-Date: 2006-03-21
File-URL: https://repub.eur.nl/pub/7743/EI%20report%202006-13.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2006-13
Classification-JEL: C11, C15, C22, C23, C30
Keywords: Gibbs sampler, MCMC, non-stationarity, random effects panel date models, reduced rank models, serial correlation, state-space models
Handle: RePEc:ems:eureir:7743