Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market

DOI10.1080/07474930701220634zbMath1112.62017OpenAlexW3124225341MaRDI QIDQ5292358

Michel Lubrano, Luc Bauwens

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://sites.uclouvain.be/econ/DP/IRES/2006-27.pdf

zbMATH Keywords

latent variablesBayesian inferencedata augmentationcredit rationingdisequilibrium modelpoland

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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Cites Work

• Unnamed Item
• Bayesian analysis of switching regression models
• A smooth likelihood simulator for dynamic disequilibrium models
• The Calculation of Posterior Distributions by Data Augmentation
• Disequilibrium Econometrics for Business Loans
• Bayesian Measures of Model Complexity and Fit
• Maximum Likelihood Methods for Models of Markets in Disequilibrium

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