Semiparametric Bayesian modeling of income volatility heterogeneity

DOI10.1198/JASA.2011.AP09283zbMATH Open1234.62019OpenAlexW1994603483MaRDI QIDQ3225792FDOQ3225792

Authors: Shane T. Jensen, Stephen H. Shore 

Publication date: 22 March 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://repository.upenn.edu/parc_working_papers/37

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zbMATH Keywords

state-space modelshierarchical Dirichlet processincome volatility

Mathematics Subject Classification ID

Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (6)

• Semiparametric Bayesian Inference in Autoregressive Panel Data Models
• Title not available (Why is that?)
• Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture
• Time-varying unobserved heterogeneity in earnings shocks
• Title not available (Why is that?)
• Modeling Multiple Time-Varying Related Groups: A Dynamic Hierarchical Bayesian Approach With an Application to the Health and Retirement Study

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