Bayesian estimation of a random effects heteroscedastic probit model

DOI10.1111/J.1368-423X.2009.00283.XMaRDI QIDQ3161680zbMATH OpenOpenAlexFDO

Authors Yuanyuan Gu, Denzil G. Fiebig, Robert Kohn, Ed Cripps

Publication date 15 October 2010

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2009.00283.x

zbMATH Keywords

Bayes factorcross-validationdeviance information criterionmarginal effectsmarginal likelihoodMarkov chain Monte CarloROC curve

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

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• Bayesian Analysis of Binary and Polychotomous Response Data
• Bayesian Measures of Model Complexity and Fit
• Estimating Regression Models with Multiplicative Heteroscedasticity
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• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• Marginal Likelihood from the Gibbs Output
• Marginal Likelihood From the Metropolis–Hastings Output
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Cited in

(13)

• A Bayesian propensity score adjustment for latent variable modeling and MCMC algorithm
• Bayesian analysis of multivariate ordered probit model with individual heterogeneity
• Bayesian inference for finite mixtures of generalized linear models with random effects
• Bayesian analysis of probit quantile regression models based on the Metropolis-Hastings algorithm
• Bayesian analysis of the ordered probit model with endogenous selection
• Bayesian Estimation Using Warner's Randomized Response Model through Simple and Mixture Prior Distributions
• Bayesian Modeling of School Effects Using Hierarchical Models with Smoothing Priors
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• Bayesian Dynamic Panel-Ordered Probit Model and Its Application to Subjective Well-Being
• A Bayesian approach to parameter estimation in binary logit and probit models
• A Bayesian approach to model-based clustering for binary panel probit models
• scientific article; zbMATH DE number 5054863 (Why is no real title available?)
• Bayesian estimation of random effects models for multivariate responses of mixed data

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