Limited Information Bayesian Model Averaging For Dynamic Panels With Short Time Periods PDF Download
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Author | : Alin Mirestean |
Publisher | : International Monetary Fund |
Total Pages | : 48 |
Release | : 2009-04 |
Genre | : Business & Economics |
ISBN | : |
Download Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods Book in PDF, ePub and Kindle
Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation results suggest that asymptotically our methodology performs well both in Bayesian model selection and averaging. In particular, LIBMA recovers the data generating process very well, with high posterior inclusion probabilities for all the relevant regressors, and parameter estimates very close to the true values. These findings suggest that our methodology is well suited for inference in dynamic panel data models with short time periods in the presence of endogenous regressors under model uncertainty.
Author | : Huigang Chen |
Publisher | : International Monetary Fund |
Total Pages | : 47 |
Release | : 2011-10-01 |
Genre | : Business & Economics |
ISBN | : 1463921306 |
Download Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model Book in PDF, ePub and Kindle
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation results suggest that asymptotically our methodology performs well both in Bayesian model averaging and selection. In particular, LIBMA recovers the data generating process well, with high posterior inclusion probabilities for all the relevant regressors, and parameter estimates very close to their true values. These findings suggest that our methodology is well suited for inference in short dynamic panel data models with endogenous regressors in the context of model uncertainty. We illustrate the use of LIBMA in an application to the estimation of a dynamic gravity model for bilateral trade.
Author | : Charalambos G. Tsangarides |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : Electronic books |
ISBN | : |
Download IMF Working Papers Book in PDF, ePub and Kindle
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 107 |
Release | : 2014-07-03 |
Genre | : Business & Economics |
ISBN | : 149834366X |
Download Sustaining Long-Run Growth and Macroeconomic Stability in Low Income Countries - The Role of Structural Transformation and Diversification - Background Notes Book in PDF, ePub and Kindle
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Author | : Mr.Shekhar Aiyar |
Publisher | : International Monetary Fund |
Total Pages | : 64 |
Release | : 2013-03-20 |
Genre | : Business & Economics |
ISBN | : 1484315804 |
Download Growth Slowdowns and the Middle-Income Trap Book in PDF, ePub and Kindle
The “middle-income trap” is the phenomenon of hitherto rapidly growing economies stagnating at middle-income levels and failing to graduate into the ranks of high-income countries. In this study we examine the middle-income trap as a special case of growth slowdowns, which are identified as large sudden and sustained deviations from the growth path predicted by a basic conditional convergence framework. We then examine their determinants by means of probit regressions, looking into the role of institutions, demography, infrastructure, the macroeconomic environment, output structure and trade structure. Two variants of Bayesian Model Averaging are used as robustness checks. The results—including some that indeed speak to the special status of middle-income countries—are then used to derive policy implications, with a particular focus on Asian economies.
Author | : Mr.Charalambos G. Tsangarides |
Publisher | : International Monetary Fund |
Total Pages | : 32 |
Release | : 2012-09-01 |
Genre | : Business & Economics |
ISBN | : 1475510225 |
Download Determinants of Growth Spells Book in PDF, ePub and Kindle
Do growth spells in Africa end because of bad realizations of the same factors that influence growth spells in the rest of the world, or because of different factors altogether? To answer this question, we examine determinants of growth spells in Africa and the rest of the world using Bayesian Mode Averaging techniques for proportional hazards models. We define growth spells as periods of sustained growth episodes between growth accelerations and decelerations and then relate the probability that a growth spell ends to various determinants including exogenous shocks, physical and human capital, macroeconomic policy, and sociopolitical factors. Our analysis suggests that determinants of growth spells in Africa are different from those in the rest of the world. The majority of the identified robust determinants have a distinct impact in only one of the two samples: initial income, terms of trade, exchange rate undervaluation and inflation, influence spells only in the world sample, while openness and droughts seem to only affect Africa. In addition, a few common determinants - proxies for human and physical capital and changes in the world interest rate - have very different marginal effects in the two samples.
Author | : Yves Croissant |
Publisher | : John Wiley & Sons |
Total Pages | : 328 |
Release | : 2018-08-10 |
Genre | : Mathematics |
ISBN | : 1118949188 |
Download Panel Data Econometrics with R Book in PDF, ePub and Kindle
Panel Data Econometrics with R provides a tutorial for using R in the field of panel data econometrics. Illustrated throughout with examples in econometrics, political science, agriculture and epidemiology, this book presents classic methodology and applications as well as more advanced topics and recent developments in this field including error component models, spatial panels and dynamic models. They have developed the software programming in R and host replicable material on the book’s accompanying website.
Author | : Peter Hackl |
Publisher | : Springer Science & Business Media |
Total Pages | : 377 |
Release | : 2013-06-29 |
Genre | : Business & Economics |
ISBN | : 3662068249 |
Download Economic Structural Change Book in PDF, ePub and Kindle
Structural change is a fundamental concept in economic model building. Statistics and econometrics provide the tools for identification of change, for estimating the onset of a change, for assessing its extent and relevance. Statistics and econometrics also have de veloped models that are suitable for picturing the data-generating process in the presence of structural change by assimilating the changes or due to the robustness to its presence. Important subjects in this context are forecasting methods. The need for such methods became obvious when, as a consequence of the oil price shock, the results of empirical analyses suddenly seemed to be much less reliable than before. Nowadays, economists agree that models with fixed structure that picture reality over longer periods are illusions. An example for less dramatic causes than the oil price shock with similarly profound effects is economic growth and its impacts on the economic system. Indeed, economic growth was a motivating concept for this volume. In 1983, the International Institute for Applied Systems Analysis (IIASA) in Laxen burg/ Austria initiated an ambitious project on "Economic Growth and Structural Change".
Author | : Gary Koop |
Publisher | : Now Publishers Inc |
Total Pages | : 104 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 160198362X |
Download Bayesian Multivariate Time Series Methods for Empirical Macroeconomics Book in PDF, ePub and Kindle
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author | : Peter Fuleky |
Publisher | : Springer Nature |
Total Pages | : 716 |
Release | : 2019-11-28 |
Genre | : Business & Economics |
ISBN | : 3030311503 |
Download Macroeconomic Forecasting in the Era of Big Data Book in PDF, ePub and Kindle
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.