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Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models

Author

Listed:
  • Xiangjin Shen
  • Iskander Karibzhanov
  • Hiroki Tsurumi
  • Shiliang Li

Abstract

This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency in estimating the optimal bandwidth of the kernel density. The study employs simulated data and Monte Carlo experiments to compare the performances of the parametric and semiparametric models. We use mean squared errors, receiver operating characteristic curves and marginal effects as model assessment criteria. Finally, we present an application to evaluate the consumer bankrupt rates based on Canadian TransUnion data.

Suggested Citation

  • Xiangjin Shen & Iskander Karibzhanov & Hiroki Tsurumi & Shiliang Li, 2022. "Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models," Staff Working Papers 22-31, Bank of Canada.
    • Handle: RePEc:bca:bocawp:22-31
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    References listed on IDEAS

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    More about this item

    Keywords

    Credit risk management; Econometric and statistical methods transmission;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D1 - Microeconomics - - Household Behavior

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