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Bayesian mode inference for discrete distributions in economics and finance

Author

Listed:
  • Cross, Jamie L.
  • Hoogerheide, Lennart
  • Labonne, Paul
  • van Dijk, Herman K.

Abstract

We propose a straightforward technique for mode inference in discrete data distributions which involves fitting a mixture of novel shifted-Poisson distributions. The credibility and utility of our approach is demonstrated through applications pertaining to loan default risk and inflation expectations.

Suggested Citation

  • Cross, Jamie L. & Hoogerheide, Lennart & Labonne, Paul & van Dijk, Herman K., 2024. "Bayesian mode inference for discrete distributions in economics and finance," Economics Letters, Elsevier, vol. 235(C).
    • Handle: RePEc:eee:ecolet:v:235:y:2024:i:c:s0165176524000624
    DOI: 10.1016/j.econlet.2024.111579
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    Cited by:

    1. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Tinbergen Institute Discussion Papers 24-030/III, Tinbergen Institute.
    2. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    3. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.

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    More about this item

    Keywords

    Bayesian inference; Mixture models; Mode inference; Multimodality; Shifted-Poisson;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • D00 - Microeconomics - - General - - - General

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