Wyniki wyszukiwania

Wyszukiwano:
w słowach kluczowych: posterior distribution

Sortuj według:

Ogranicz wyniki do:

Artykuł dostępny w postaci pełnego tekstu - kliknij by otworzyć plik

Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)

100%

Sumobay A., Supe A.

Discussiones Mathematicae Probability and Statistics

2014

tom 34

nr 1-2

113-126

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.

Ograniczanie wyników

1 Discussiones Mathematicae Probability and Statistics

1 Sumobay A.

1 Supe A.

1 2014

Wyniki wyszukiwania

Bayesian analysis of structural change in a distributed Lag Model (Koyck Scheme)