Bayesian Inference for State Space Model with Panel Data

Czasopismo

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• Autorzy: Ranjita Pandey , Anoop Chaturvedi
• Języki publikacji: EN

Abstrakty

EN

The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making. (original abstract)

Słowa kluczowe

EN

Bayesian inference; Panel data; Decision making process; State space model

PL

Wnioskowanie bayesowskie; Dane panelowe; Proces podejmowania decyzji; Model przestrzeni stanu

• Czasopismo: ---
• Strony: 211--219

Twórcy

autor

Ranjita Pandey

• University of Delhi

autor

Anoop Chaturvedi

• University of Allahabad

Bibliografia

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• HAUSMAN, J., TAYLOR, W., (1981). Panel data and unobservable individual effects. Econometrica 49, No. 6.
• MADDALA, G. S., (1971). The use of variance components models in pooling cross- section and time series data. Econometrica 39, No. 2.
• MUNDLAK, Y., (1978). On the pooling of time series and cross section data. Econometrica 46, No. 1.
• TIWARI, R. C., YANG, Y., ZALKIKAR, J. N., (1996). Time series analysis of BOD data using the Gibbs sampler. Enviormetrics 7: 567-78.