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Testing Restrictions In Normal Data Models Using Gibbs Sampling

Author

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  • Matteo Ciccarelli

    (Universidad de Alicante)

Abstract

The problem of testing a set of restrictions R(q)=0 in a complex hierarchical model is considered. We propose a different approach from the standard PO ratio test, which can be viewed as the Bayesian analogous to the classical Wald type test. With respect to the PO ratio, it has the advantage of being easier to implement and, unlike the PO ratio test, it can be computed also when some prior in the hierarchy is diffuse. Several Monte Carlo simulations show that the procedure scores very well both in terms of power and unbiasedness, generally doing as well as the standard PO ratio approach, or even better in cases where the degree of coefficient heterogeneity is not high.

Suggested Citation

  • Matteo Ciccarelli, 2001. "Testing Restrictions In Normal Data Models Using Gibbs Sampling," Working Papers. Serie AD 2001-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    • Handle: RePEc:ivi:wpasad:2001-17
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    File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-2001-17.pdf
    File Function: Fisrt version / Primera version, 2001
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    References listed on IDEAS

    as
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    3. Frank Schorfheide, 2000. "Loss function-based evaluation of DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 645-670.
    4. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August.
    5. Hsiao, C. & Pesaran, M. H. & Tahmiscioglu, A. K., 1998. "Bayes Estimation of Short-run Coefficients in Dynamic Panel Data Models," Cambridge Working Papers in Economics 9804, Faculty of Economics, University of Cambridge.
    6. repec:cup:etheor:v:12:y:1996:i:3:p:409-31 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Matteo Ciccarelli & Alessandro Rebucci, 2001. "The Transmission Mechanism of European Monetary Policy: Is There Heterogeneity? Is It Changing Over Time?," Working Papers 0115, Banco de España.

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    More about this item

    Keywords

    Linear restrictions; Gibbs sampling; Monte Carlo;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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