Bayesian hypothesis testing in latent variable models

DOI10.1016/j.jeconom.2011.09.040zbMath1441.62802OpenAlexW2116895877MaRDI QIDQ738117

Jun Yu, Yong Li

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1316

zbMATH Keywords

decision theoryEM algorithmMarkov chain Monte CarloBayes factorsKullback-Leibler divergence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Related Items (18)

Approximating cross-validatory predictive evaluation in Bayesian latent variable models with integrated IS and WAIC ⋮ Estimation of linear composite quantile regression using EM algorithm ⋮ Objective Bayesian inference for the intraclass correlation coefficient in linear models ⋮ Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions ⋮ Posterior-based Wald-type statistics for hypothesis testing ⋮ Orthogonality-projection-based estimation for semi-varying coefficient models with heteroscedastic errors ⋮ Maximum likelihood estimation in vector autoregressive models with multivariate scaled t-distributed innovations using EM-based algorithms ⋮ Bayesian model selection for multilevel mediation models ⋮ A non-iterative posterior sampling algorithm for linear quantile regression model ⋮ A Bayesian chi-squared test for hypothesis testing ⋮ A Bayesian robust chi-squared test for testing simple hypotheses ⋮ Post-processing of Markov chain Monte Carlo output in Bayesian latent variable models with application to multidimensional scaling ⋮ A new approach to Bayesian hypothesis testing ⋮ A local unit root test in mean for financial time series ⋮ Mixture additive hazards cure model with latent variables: application to corporate default data ⋮ Gradient-based simulated maximum likelihood estimation for Lévy-driven Ornstein–Uhlenbeck stochastic volatility models ⋮ Bayesian testing volatility persistence in stochastic volatility models with jumps ⋮ Bayesian testing for jumps in stochastic volatility models with correlated jumps

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