DocumentCode
476037
Title
Bayesian analysis of panel data based on MCMC
Author
Zhang, Xiao-Tao
Author_Institution
Sch. of Manage., Tianjin Univ., Tianjin
Volume
2
fYear
2008
fDate
12-15 July 2008
Firstpage
1167
Lastpage
1171
Abstract
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.
Keywords
Bayes methods; autoregressive processes; parameter estimation; Bayesian analysis; Bayesian method; Bayesian multiple hypotheses testing; panel data; posterior parameter estimation; threshold autoregressive model; Bayesian methods; Conference management; Cybernetics; Data analysis; Fluctuations; Inference algorithms; Machine learning; Performance evaluation; Testing; Time series analysis; MCMC; Posterior Estimation; Threshold Autoregressive;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2008 International Conference on
Conference_Location
Kunming
Print_ISBN
978-1-4244-2095-7
Electronic_ISBN
978-1-4244-2096-4
Type
conf
DOI
10.1109/ICMLC.2008.4620580
Filename
4620580
Link To Document