Smoothly mixing regressions

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dc.contributor.author Geweke, J
dc.contributor.author Keane, M
dc.date.accessioned 2010-05-28T09:53:01Z
dc.date.issued 2007-05
dc.identifier.citation Journal of Econometrics, 2007, 138 (1), pp. 252 - 290
dc.identifier.issn 0304-4076
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/9944
dc.description.abstract This paper extends the conventional Bayesian mixture of normals model by permitting state probabilities to depend on observed covariates. The dependence is captured by a simple multinomial probit model. A conventional and rapidly mixing MCMC algorithm provides access to the posterior distribution at modest computational cost. This model is competitive with existing econometric models, as documented in the paper's illustrations. The first illustration studies quantiles of the distribution of earnings of men conditional on age and education, and shows that smoothly mixing regressions are an attractive alternative to nonBayesian quantile regression. The second illustration models serial dependence in the S&P 500 return, and shows that the model compares favorably with ARCH models using out of sample likelihood criteria. © 2006 Elsevier B.V. All rights reserved.
dc.language eng
dc.relation.isbasedon 10.1016/j.jeconom.2006.05.022
dc.title Smoothly mixing regressions
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Econometrics
dc.journal.volume 1
dc.journal.volume 138
dc.journal.number 1 en_US
dc.publocation Amsterdam, The Netherlands en_US
dc.identifier.startpage 252 en_US
dc.identifier.endpage 290 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140302 Econometric and Statistical Methods
dc.personcode 998871
dc.personcode 101228
dc.percentage 100 en_US
dc.classification.name Econometric and Statistical Methods en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc false
utslib.collection.history Closed (ID: 3)


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