A Bayesian chi-squared test for hypothesis testing

DOI10.1016/j.jeconom.2015.06.021zbMath1337.62039OpenAlexW2195574582MaRDI QIDQ496143

Xiao-Bin Liu, Yong Li, Jun Yu

Publication date: 18 September 2015

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/1588

zbMATH Keywords

decision theoryLagrange multiplierEM algorithmMarkov chain Monte CarloBayes factorlatent variable models

Mathematics Subject Classification ID

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

Related Items

Posterior-based Wald-type statistics for hypothesis testing ⋮ Objective Bayesian analysis for the multivariate skew-\(t\) model ⋮ A non-iterative posterior sampling algorithm for linear quantile regression model ⋮ A Bayesian robust chi-squared test for testing simple hypotheses ⋮ Specification tests based on MCMC output

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
• Bayesian hypothesis testing in latent variable models
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations
• A new approach to Bayesian hypothesis testing
• The Intrinsic Bayes Factor for Model Selection and Prediction
• Marginal Likelihood from the Gibbs Output
• Simulation Run Length Control in the Presence of an Initial Transient
• Bayesian Estimation of Dynamic Discrete Choice Models
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Filtering via Simulation: Auxiliary Particle Filters
• Marginal Likelihood From the Metropolis–Hastings Output
• Bayesian Hypothesis Testing: A Reference Approach
• Bayes Factors
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• Bayesian Analysis of DSGE Models—Rejoinder