- Tytuł:
- Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)
- Autorzy:
-
Sumobay, Arvin
Supe, Arnulfo - Powiązania:
- https://bibliotekanauki.pl/articles/729762.pdf
- Data publikacji:
- 2014
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
distributed lag model
posterior distribution
break point - Opis:
-
Structural change for the Koyck Distributed Lag Model is analyzed through the Bayesian approach. The posterior distribution of the break point is derived with the use of the normal-gamma prior density and the break point, ν, is estimated by the value that attains the Highest Posterior Probability (HPP). Simulation study is done using R.
Given the parameter values ϕ = 0.2 and λ = 0.3, the full detection of the structural change when σ² = 1 is generally attained at ν + 1. The after one lag detection is due to the nature of the model which includes lagged variable. The interval estimate HPP near ν consistently and efficiently captures the break point ν in the interval HPPₜ ± 5% of the sample size. On the other hand, the detection of the structural change when σ² = 2 does not show any improvement of the point estimate of the break point ν. - Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2014, 34, 1-2; 113-126
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł