Posterior Simulation and Bayes Factors in Panel Count Data Models

Siddhartha Chib, Edward Greenberg and Rainer Winkelmann
Additional contact information
Siddhartha Chib: Washington University

Econometrics from University Library of Munich, Germany

Abstract: This paper is concerned with the problems of posterior simulation and model choice for Poisson panel data models with multiple random effects. Efficient algorithms based on Markov Chain Monte Carlo methods for sampling the posterior distribution are developed. A new parameterization of the random effects and fixed effects is proposed and compared with a parameterization in common use. Computation of marginal likelihoods and Bayes factors from the simulation output is also considered. The methods are illustrated with several real data applications involving large samples and multiple random effects. This version corrects some typographical errors in the earlier submission.

Keywords: Bayes factor; Count data; Gibbs sampling; Importance sampling; Marginal likelihood; Metropolis-Hastings algorithm; Markov chain Monte Carlo; Poisson regression. (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 27 pages
Date: 1996-08-26, Revised 1996-11-25
Note: Type of Document - ; to print on PostScript; pages: 27
References: Add references at CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9608/9608003.ps.gz (application/postscript)
https://econwpa.ub.uni-muenchen.de/econ-wp/em/papers/9608/9608003.pdf (application/pdf)

Related works:
Journal Article: Posterior simulation and Bayes factors in panel count data models (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9608003

Access Statistics for this paper

More papers in Econometrics from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ().