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Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance

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  • Bin Lu
  • Xin-Yuan Song
  • Xin-Dan Li

Abstract

Structural equation models (SEMs) have been widely used to determine the relationships among certain observed and latent variables in behavioral finance. The purpose of this paper is to develop a Bayesian approach for analysing multi-group nonlinear SEMs. Using recently developed tools in statistical computing, such as the Gibbs sampler, we propose an efficient method to estimate parameters and select an appropriate model. The proposed method is used to investigate the relationships among all identified influential factors that have an impact on the motivation for insider trading within the framework of behavioral finance.

Suggested Citation

  • Bin Lu & Xin-Yuan Song & Xin-Dan Li, 2012. "Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 477-488, September.
    • Handle: RePEc:taf:quantf:v:12:y:2012:i:3:p:477-488
    DOI: 10.1080/14697680903369500
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    References listed on IDEAS

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    1. Kurt J. Beron & Helen V. Tauchen & Ann Dryden Witte, 1988. "A Structural Equation Model for Tax Compliance and Auditing," NBER Working Papers 2556, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Iegor Rudnytskyi & Joël Wagner, 2019. "Drivers of Old-Age Dependence and Long-Term Care Usage in Switzerland—A Structural Equation Model Approach," Risks, MDPI, vol. 7(3), pages 1-20, August.
    2. Yang, Qi & He, Haijin & Lu, Bin & Song, Xinyuan, 2022. "Mixture additive hazards cure model with latent variables: Application to corporate default data," Computational Statistics & Data Analysis, Elsevier, vol. 167(C).
    3. Feng, Xiangnan & Lu, Bin & Song, Xinyuan & Ma, Shuang, 2019. "Financial literacy and household finances: A Bayesian two-part latent variable modeling approach," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 119-137.
    4. Cantrell, Brett W. & Yust, Christopher G., 2018. "The relation between religiosity and private bank outcomes," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 86-105.

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