Learning about the across-regime correlation in switching regression models

DOI10.1016/S0304-4076(96)00009-7zbMath0908.62116OpenAlexW2091328584MaRDI QIDQ1362497

Gary Koop, Dale J. Poirier

Publication date: 12 August 1997

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(96)00009-7

zbMATH Keywords

identificationGibbs samplerRoy model

Mathematics Subject Classification ID

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

Related Items (10)

Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave ⋮ Treatment Effects: A Bayesian Perspective ⋮ Bayesian robust inference of sample selection using selection-\(t\) models ⋮ Analysis of treatment response data without the joint distribution of potential outcomes ⋮ Self-selection and direct estimation of across-regime correlation parameter ⋮ Bayesian inference in a correlated random coefficients model: modeling causal effect heterogeneity with an application to heterogeneous returns to schooling ⋮ Bayesian inference in a sample selection model ⋮ Bayesian analysis of a self-selection model with multiple outcomes using simulation-based estimation: An application to the demand for healthcare ⋮ Bayesian analysis of cross-section and clustered data treatment models ⋮ A Bayesian analysis of the multinomial probit model with fully identified parameters

Cites Work

• Posterior distribution for the multiple correlation coefficient with fixed regressors
• Measuring the unidentified parameter of the extended Roy model of selectivity
• Markov chains for exploring posterior distributions. (With discussion)

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