Strathprints Home | Open Access | Browse | Search | User area | Copyright | Help | Library Home | SUPrimo

Semiparametric Bayesian inference in smooth coefficient models

Koop, G.M. and Tobias, J. (2006) Semiparametric Bayesian inference in smooth coefficient models. Journal of Econometrics, 134. pp. 283-315. ISSN 0304-4076

[img]
Preview
PDF (strathprints003925.pdf)
Download (377Kb) | Preview

    Abstract

    We describe procedures for Bayesian estimation and testing in cross-sectional, panel data and nonlinear smooth coefficient models. The smooth coefficient model is a generalization of the partially linear or additive model wherein coefficients on linear explanatory variables are treated as unknown functions of an observable covariate. In the approach we describe, points on the regression lines are regarded as unknown parameters and priors are placed on differences between adjacent points to introduce the potential for smoothing the curves. The algorithms we describe are quite simple to implement - for example, estimation, testing and smoothing parameter selection can be carried out analytically in the cross-sectional smooth coefficient model. We apply our methods using data from the National Longitudinal Survey of Youth (NLSY). Using the NLSY data we first explore the relationship between ability and log wages and flexibly model how returns to schooling vary with measured cognitive ability. We also examine a model of female labor supply and use this example to illustrate how the described techniques can been applied in nonlinear settings.

    Item type: Article
    ID code: 3925
    Keywords: bayesian econometrics, semiparametric regression, econometrics, economics, Economic Theory, Statistics, History and Philosophy of Science, Economics and Econometrics, Applied Mathematics
    Subjects: Social Sciences > Economic Theory
    Social Sciences > Statistics
    Department: Strathclyde Business School > Economics
    Related URLs:
    Depositing user: Strathprints Administrator
    Date Deposited: 22 Aug 2007
    Last modified: 05 Sep 2014 13:37
    URI: http://strathprints.strath.ac.uk/id/eprint/3925

    Actions (login required)

    View Item

    Fulltext Downloads: