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Author: L. Bauwens
Publisher: Springer
ISBN: 9783642455797
Category : Business & Economics
Languages : en
Pages : 114
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Book Description
In their review of the "Bayesian analysis of simultaneous equation systems", Dr~ze and Richard (1983) - hereafter DR - express the following viewpoint about the present state of development of the Bayesian full information analysis of such sys tems i) the method allows "a flexible specification of the prior density, including well defined noninformative prior measures"; ii) it yields "exact finite sample posterior and predictive densities". However, they call for further developments so that these densities can be eval uated through 'numerical methods, using an integrated software packa~e. To that end, they recommend the use of a Monte Carlo technique, since van Dijk and Kloek (1980) have demonstrated that "the integrations can be done and how they are done". In this monograph, we explain how we contribute to achieve the developments suggested by Dr~ze and Richard. A basic idea is to use known properties of the porterior density of the param eters of the structural form to design the importance functions, i. e. approximations of the posterior density, that are needed for organizing the integrations.
Author: L. Bauwens
Publisher: Springer
ISBN: 9783642455797
Category : Business & Economics
Languages : en
Pages : 114
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Book Description
In their review of the "Bayesian analysis of simultaneous equation systems", Dr~ze and Richard (1983) - hereafter DR - express the following viewpoint about the present state of development of the Bayesian full information analysis of such sys tems i) the method allows "a flexible specification of the prior density, including well defined noninformative prior measures"; ii) it yields "exact finite sample posterior and predictive densities". However, they call for further developments so that these densities can be eval uated through 'numerical methods, using an integrated software packa~e. To that end, they recommend the use of a Monte Carlo technique, since van Dijk and Kloek (1980) have demonstrated that "the integrations can be done and how they are done". In this monograph, we explain how we contribute to achieve the developments suggested by Dr~ze and Richard. A basic idea is to use known properties of the porterior density of the param eters of the structural form to design the importance functions, i. e. approximations of the posterior density, that are needed for organizing the integrations.
Author: Luc Bauwens
Publisher: Springer Verlag
ISBN: 9780387133843
Category : Mathematics
Languages : en
Pages : 0
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Book Description
Author: Donald A. Berry
Publisher: John Wiley & Sons
ISBN: 9780471118565
Category : Business & Economics
Languages : en
Pages : 610
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Book Description
This book is a definitive work that captures the current state of knowledge of Bayesian Analysis in Statistics and Econometrics and attempts to move it forward. It covers such topics as foundations, forecasting inferential matters, regression, computation and applications.
Author: Jayalakshmi Krishnakumar
Publisher: Springer Science & Business Media
ISBN: 3642456472
Category : Business & Economics
Languages : en
Pages : 371
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Book Description
Economists can rarely perform controlled experiments to generate data. Existing information in the form of real-life observations simply has to be utilized in the best possible way. Given this, it is advantageous to make use of the increasing availability and accessibility of combinations of time-series and cross-sectional data in the estimation of economic models. But such data call for a new methodology of estimation and hence for the development of new econometric models. This book proposes one such new model which introduces error components in a system of simultaneous equations to take into account the temporal and cross-sectional heterogeneity of panel data. After a substantial survey of panel data models, the newly proposed model is presented in detail and indirect estimations, full information and limited information estimations, and estimations with and without the assumption of normal distribution errors. These estimation methods are then applied using a computer to estimate a model of residential electricity demand using data on American households. The results are analysed both from an economic and from a statistical point of view.
Author: Luc Bauwens
Publisher: OUP Oxford
ISBN: 0191588466
Category : Business & Economics
Languages : en
Pages : 370
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Book Description
This book contains an up-to-date coverage of the last twenty years advances in Bayesian inference in econometrics, with an emphasis on dynamic models. It shows how to treat Bayesian inference in non linear models, by integrating the useful developments of numerical integration techniques based on simulations (such as Markov Chain Monte Carlo methods), and the long available analytical results of Bayesian inference for linear regression models. It thus covers a broad range of rather recent models for economic time series, such as non linear models, autoregressive conditional heteroskedastic regressions, and cointegrated vector autoregressive models. It contains also an extensive chapter on unit root inference from the Bayesian viewpoint. Several examples illustrate the methods.
Author: Jochen E.M. Wilhelm
Publisher: Springer Science & Business Media
ISBN: 3642500943
Category : Business & Economics
Languages : en
Pages : 124
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Book Description
The present 'Introductory Lectures on Arbitrage-based Financial Asset Pricing' are a first attempt to give a comprehensive presentation of Arbitrage Theory in a discrete time framework (by the way: all the re sults given in these lectures apply to a continuous time framework but, probably, in continuous time we could achieve stronger results - of course at the price of stronger assumptions). It has been turned out in the last few years that capital market theory as derived and evolved from the capital asset pricing model (CAPM) in the middle sixties, can, to an astonishing extent, be based on arbitrage arguments only, rather than on mean-variance preferences of investors. On the other hand, ar bitrage arguments provided access to a wider range of results which could not be obtained by standard CAPM-methods, e. g. the valuation of contingent claims (derivative assets) Dr the_ investigation of futures prices. To some extent the presentation will loosely follow historical lines. A selected set of capital asset pricing models will be derived according to their historical progress and their increasing complexity as well. It will be seen that they all share common structural properties. After having made this observation the presentation will become an axiomatical one: it will be stated in precise terms what arbitrage is about and what the consequences are if markets do not allow for risk-free arbitrage opportunities. The presentation will partly be accompanied by an illus trating example: two-state option pricing.
Author: Patrick T. Harker
Publisher: Springer Science & Business Media
ISBN: 364246548X
Category : Business & Economics
Languages : en
Pages : 288
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Book Description
The problem of predicting interregional commodity movements and the regional prices of these commodities has intrigued economists, geographers and operations researchers for years. In 1838, A. A. Cournot (1838) discussed the equilibrium of trade between New York and Paris and noted how the equilibrium prices depended upon the transport costs. Enke (1951) recognized that this problem of predicting interregional flows and regional prices could be formulated as a network problem, and in 1952, . Paul Samuelson (1952) used the then recent advances in mathe matical programming to formalize the spatial price equilibrium problem as a nonlinear optimization problem. From this formula tion, Takayama and Judge (1964) derived their quadratic program ming representation of the spatial price equilibrium problem, which they and other scholars then applied to a wide variety of problem contexts. Since these early beginnings, the spatial price equilibrium problem has been widely studied, extended and applied; the paper by Harker (1985) reviews many of these results. In recent years, there has been a growing interest in this problem, as evidenced by the numerous publications listed in Harker (1985). The reasons for this renewed interest are many. First, new applications of this concept have arisen which challenge the theoretical underpinnings of this model. The spatial price equilibrium concept is founded on the assumption of perfect or pure competition. The applications to energy markets, steel markets, etc. have led scholars to rethink the basic structure of this model.
Author: H.-J. Kruse
Publisher: Springer Science & Business Media
ISBN: 3642492703
Category : Business & Economics
Languages : en
Pages : 138
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Book Description
A few years ago nobody would have anticipated that in connection with degeneracy in Linear Programming quite a new field. could originate. In 1976 a very simple question has been posed: in the case an extreme pOint (EP) of a polytope is degenerate and the task is to find all neighbouring EP's of the degenerate EP, is it necessary to determine all basic solutions of the corresponding equalities system associated with the degenerate EP -in order to be certain to determine all neighbours of this EP? This question implied another one: Does there exists a subset of the mentioned set of basic solutions such that it suffices to find such a subset in order to determine all neighbours? The first step to solve these questions (which are motivated in the first Chapter of this book) was to define a graph (called degeneracy graph) the nodes of which correspond to the basic solutions. It turned out that such a graph has some special properties and in order to solve the above questions firstly these properties had to be investigated. Also the structure of degeneracy graphs playes hereby an important role. Because the theory of degeneracy graphs was quite new, it was necessary to elaborate first a completely new terminology and to define new notions. Dr.
Author: Klaus Neumann
Publisher: Springer Science & Business Media
ISBN: 364246534X
Category : Business & Economics
Languages : en
Pages : 197
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Book Description
Author: W. Domschke
Publisher: Springer Science & Business Media
ISBN: 3662024470
Category : Business & Economics
Languages : en
Pages : 142
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Book Description
