Journal ArticleDOI
Exact inference in the inequality constrained normal linear regression model
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TLDR
In this paper, the inequality constrained normal linear regression model is approached as a problem in Bayesian inference, using a prior that is the product of a conventional uninformative distribution and an indicator function representing the inequality constraints.Abstract:
Inference in the inequality constrained normal linear regression model is approached as a problem in Bayesian inference, using a prior that is the product of a conventional uninformative distribution and an indicator function representing the inequality constraints. The posterior distribution is calculated using Monte Carlo numerical integration, which leads directly to the evaluation of expected values of functions of interest. This approach is compared with others that have been proposed. Three empirical examples illustrate the utility of the proposed methods using an inexpensive 32-bit microcomputer.read more
Citations
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Trends and random walks in macroeconomic time series: Further evidence from a new approach
TL;DR: In this article, the authors present a summary of recent work on a new methodology to test for the presence of a unit root in univariate time series models, which is quite general.
Journal ArticleDOI
Bayesian Inference in Econometric Models Using Monte Carlo Integration
TL;DR: In this article, conditions under which the numerical approximation of a posterior moment converges almost surely to the true value as the number of Monte Carlo replications increases, and the numerical accuracy of this approximation may be assessed reliably, are set forth.
Posted Content
The Behaviour of the Maximum Likelihood Estimator of Limited Dependent Variable Models in the Presence of Fixed Effects
TL;DR: In this article, Monte Carlo methods were used to examine the small sample bias of the MLE in the tobit, truncated regression and Weibull survival models as well as the binary probit and logit and ordered probit discrete choice models.
Journal ArticleDOI
The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects
TL;DR: In this article, Monte Carlo methods are used to examine the small sample bias of the MLE in the tobit, truncated regression and Weibull survival models as well as the binary probit and logit and ordered probit discrete choice models.
Journal ArticleDOI
Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference
TL;DR: In this paper, rank conditions for structural vector autoregressions (SVARs) are defined and checked as a matrix-filling problem and applied to a wide class of identifying restrictions, including linear and certain nonlinear restrictions.
References
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Journal ArticleDOI
Distributions in Statistics: Continuous Multivariate Distributions.
Journal ArticleDOI
Wald criteria for jointly testing equality and inequality restrictions
D.A. Kodde,Franz Palm +1 more
TL;DR: On montre comment le test de Wald s'applique a des ensembles de restrictions d'egalite et d'inegalite and on presente la distribution, pour de grands echantillons, du test sous l'hypothese nulle as mentioned in this paper.
Book
Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975
Milton Friedman,Anna J. Schwartz +1 more
Journal ArticleDOI
Bayesian estimates of equation system parameters, An application of integration by Monte Carlo
Teun Kloek,Herman K. van Dijk +1 more
TL;DR: In this paper, Monte Carlo (MC) is used to estimate posterior moments of both structural and reduced form parameters of an equation system, making use of the prior density, the likelihood, and Bayes' Theorem.
Journal ArticleDOI
Likelihood ration test, Wald test and Kuhn-Tucker test in linear-models with inequality constraints on the regression parameters Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
TL;DR: In this paper, the Kuhn-Tucker multiplier test statistic is defined and its relationships with the likelihood ratio test and the Wald test are examined, and it is shown that these relationships are the same as in the equality constrained case.
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