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Interpretation and inference in mixture models: Simple MCMC works

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Cited by:

  1. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014. "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 508-522.
  2. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2009. "Regression density estimation using smooth adaptive Gaussian mixtures," Journal of Econometrics, Elsevier, vol. 153(2), pages 155-173, December.
  3. Klaus Moeltner & A. Ford Ramsey & Clinton L. Neill, 2021. "Bayesian Kinked Regression with Unobserved Thresholds: An Application to the von Liebig Hypothesis," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(5), pages 1832-1856, October.
  4. Jensen, Mark J. & Maheu, John M., 2010. "Bayesian semiparametric stochastic volatility modeling," Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
  5. Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
  6. Paap, Richard & Segers, Rene & van Dijk, Dick, 2009. "Do Leading Indicators Lead Peaks More Than Troughs?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 528-543.
  7. Kutlu, Levent & Sickles, Robin & Tsionas, Mike G., 2019. "Heterogeneous Decision-Making and Market Power," Working Papers 19-008, Rice University, Department of Economics.
  8. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
  9. Amisano, Gianni & Tristani, Oreste, 2019. "Uncertainty shocks, monetary policy and long-term interest rates," Working Paper Series 2279, European Central Bank.
  10. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  11. Geweke, John & Jiang, Yu, 2011. "Inference and prediction in a multiple-structural-break model," Journal of Econometrics, Elsevier, vol. 163(2), pages 172-185, August.
  12. Didier Nibbering, 2023. "A High-dimensional Multinomial Logit Model," Monash Econometrics and Business Statistics Working Papers 19/23, Monash University, Department of Econometrics and Business Statistics.
  13. Basturk, N. & Paap, R. & van Dijk, D.J.C., 2010. "Financial Development and Convergence Clubs," Econometric Institute Research Papers EI 2010-52, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  14. David Gunawan & William Griffths & Anatasios Panagiotelis and Duangkamon Chotikapanich, 2017. "Bayesian Weighted Inference from Surveys "Abstract: Data from large surveys are often supplemented with sampling weights that are designed to reflect unequal probabilities of response and selecti," Department of Economics - Working Papers Series 2030, The University of Melbourne.
  15. Grazian, Clara & Robert, Christian P., 2018. "Jeffreys priors for mixture estimation: Properties and alternatives," Computational Statistics & Data Analysis, Elsevier, vol. 121(C), pages 149-163.
  16. Fisher, Mark & Jensen, Mark J., 2022. "Bayesian nonparametric learning of how skill is distributed across the mutual fund industry," Journal of Econometrics, Elsevier, vol. 230(1), pages 131-153.
  17. Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  18. Subal C. Kumbhakar & Mike G. Tsionas, 2021. "Estimation of costs of technical and allocative inefficiency," Journal of Productivity Analysis, Springer, vol. 55(1), pages 41-46, February.
  19. Shu-Ping Shi & Yong Song, 2012. "Identifying Speculative Bubbles with an Infinite Hidden Markov Model," Working Paper series 26_12, Rimini Centre for Economic Analysis.
  20. Perrakis, Konstantinos & Ntzoufras, Ioannis & Tsionas, Efthymios G., 2014. "On the use of marginal posteriors in marginal likelihood estimation via importance sampling," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 54-69.
  21. Tsionas, Mike G., 2019. "Transition and limiting distributions when covariates are available," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
  22. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2009. "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 29(i03).
  23. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
  24. Reichl Johannes, 2020. "Estimating marginal likelihoods from the posterior draws through a geometric identity," Monte Carlo Methods and Applications, De Gruyter, vol. 26(3), pages 205-221, September.
  25. Çakmaklı, Cem & Paap, Richard & van Dijk, Dick, 2013. "Measuring and predicting heterogeneous recessions," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2195-2216.
  26. Li, Mingliang & Tobias, Justin L., 2011. "Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling," Journal of Econometrics, Elsevier, vol. 162(2), pages 345-361, June.
  27. Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
  28. de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Hoogerheide, Lennart & Opschoor, Anne & van Dijk, Herman K., 2012. "A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 101-120.
  30. Villani, Mattias & Kohn, Robert & Giordani, Paolo, 2007. "Nonparametric Regression Density Estimation Using Smoothly Varying Normal Mixtures," Working Paper Series 211, Sveriges Riksbank (Central Bank of Sweden).
  31. Hou, Chenghan, 2017. "Infinite hidden markov switching VARs with application to macroeconomic forecast," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1025-1043.
  32. Lennart Hoogerheide & Anne Opschoor & Herman K. van Dijk, 2011. "A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation," Tinbergen Institute Discussion Papers 11-004/4, Tinbergen Institute.
  33. Keane, Michael & Stavrunova, Olena, 2016. "Adverse selection, moral hazard and the demand for Medigap insurance," Journal of Econometrics, Elsevier, vol. 190(1), pages 62-78.
  34. Brendan Kline & Justin L. Tobias, 2008. "The wages of BMI: Bayesian analysis of a skewed treatment-response model with nonparametric endogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(6), pages 767-793.
  35. Carmelo J. León & Jorge E. Araña, 2012. "The Dynamics of Preference Elicitation after an Environmental Disaster: Stability and Emotional Load," Land Economics, University of Wisconsin Press, vol. 88(2), pages 362-381.
  36. Yasutomo Murasawa, 2020. "Measuring public inflation perceptions and expectations in the UK," Empirical Economics, Springer, vol. 59(1), pages 315-344, July.
  37. León, Carmelo J. & Araña, Jorge E. & Hanemann, W. Michael & Riera, Pere, 2014. "Heterogeneity and emotions in the valuation of non-use damages caused by oil spills," Ecological Economics, Elsevier, vol. 97(C), pages 129-139.
  38. Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2009. "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 29(i03).
  39. Tsionas, Mike G., 2020. "On a model of environmental performance and technology gaps," European Journal of Operational Research, Elsevier, vol. 285(3), pages 1141-1152.
  40. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
  41. repec:jss:jstsof:29:i03 is not listed on IDEAS
  42. David Lander & David Gunawan & William Griffiths & Duangkamon Chotikapanich, 2020. "Bayesian assessment of Lorenz and stochastic dominance," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 53(2), pages 767-799, May.
  43. Olofsson, Petter & Råholm, Anna & Uddin, Gazi Salah & Troster, Victor & Kang, Sang Hoon, 2021. "Ethical and unethical investments under extreme market conditions," International Review of Financial Analysis, Elsevier, vol. 78(C).
  44. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
  45. Norets, Andriy & Pelenis, Justinas, 2012. "Bayesian modeling of joint and conditional distributions," Journal of Econometrics, Elsevier, vol. 168(2), pages 332-346.
  46. Balcombe, Kelvin & Fraser, Iain, 2017. "Do bubbles have an explosive signature in markov switching models?," Economic Modelling, Elsevier, vol. 66(C), pages 81-100.
  47. Garland Durham & John Geweke, 2013. "Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments," Working Paper Series 9, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  48. Brendan Kline & Justin L. Tobias, 2014. "Explaining Trends in Body Mass Index Using Demographic Counterfactuals," Econometric Reviews, Taylor & Francis Journals, vol. 33(1-4), pages 172-196, June.
  49. Jiang, Yu, 2020. "Identification of business cycles and the Great Moderation in the post-war U.S. economy," Economics Letters, Elsevier, vol. 190(C).
  50. Levent Kutlu & Robin C. Sickles & Mike G. Tsionas & Emmanuel Mamatzakis, 2022. "Heterogeneous decision-making and market power: an application to Eurozone banks," Empirical Economics, Springer, vol. 63(6), pages 3061-3092, December.
  51. Aßmann, Christian & Boysen-Hogrefe, Jens, 2011. "A Bayesian approach to model-based clustering for binary panel probit models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 261-279, January.
  52. Hamilton, J.D., 2016. "Macroeconomic Regimes and Regime Shifts," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 163-201, Elsevier.
  53. Hoogerheide, L.F. & van Dijk, H.K., 2007. "Note on neural network sampling for Bayesian inference of mixture processes," Econometric Institute Research Papers EI 2007-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  54. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008.
  55. Tsionas, Mike G., 2020. "A note on Sigma–Mu efficiency analysis as a methodology for evaluating units through composite indicators," European Journal of Operational Research, Elsevier, vol. 286(3), pages 1187-1196.
  56. Murat K. Munkin & Pravin K. Trivedi, 2010. "Disentangling incentives effects of insurance coverage from adverse selection in the case of drug expenditure: a finite mixture approach," Health Economics, John Wiley & Sons, Ltd., vol. 19(9), pages 1093-1108, September.
  57. Qian, Hang, 2009. "Bayesian Portfolio Selection with Gaussian Mixture Returns," MPRA Paper 32688, University Library of Munich, Germany.
  58. Murasawa, Yasutomo, 2017. "Measuring the Distributions of Public Inflation Perceptions and Expectations in the UK," MPRA Paper 76244, University Library of Munich, Germany.
  59. van Dijk, A. & van Rosmalen, J.M. & Paap, R., 2009. "A Bayesian approach to two-mode clustering," Econometric Institute Research Papers EI 2009-06, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  60. Murat K. Munkin, 2022. "Count Roy model with finite mixtures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1160-1181, September.
  61. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014. "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE 2014014, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  62. Markku Lanne & Jani Luoto, 2016. "Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression," CREATES Research Papers 2016-04, Department of Economics and Business Economics, Aarhus University.
  63. Yu Jiang & Xianming Fang, 2014. "Identify regimes in post-war US GDP growth," Applied Economics Letters, Taylor & Francis Journals, vol. 21(6), pages 397-401, April.
  64. Feng Li & Mattias Villani, 2013. "Efficient Bayesian Multivariate Surface Regression," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 706-723, December.
  65. David Ardia, 2009. "Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations," Econometrics Journal, Royal Economic Society, vol. 12(1), pages 105-126, March.
  66. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
  67. Puonti, Päivi, 2019. "Data-driven structural BVAR analysis of unconventional monetary policy," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
  68. Thomas St rdal Gundersen & Even Soltvedt Hvinden, 2021. "OPEC's crude game: Strategic Competition and Regime-switching in Global Oil Markets," Working Papers No 01/2021, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  69. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
  70. Didier Nibbering, 2024. "A high‐dimensional multinomial logit model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 481-497, April.
  71. Cornwall, Gary J. & Parent, Olivier, 2017. "Embracing heterogeneity: the spatial autoregressive mixture model," Regional Science and Urban Economics, Elsevier, vol. 64(C), pages 148-161.
  72. Drivas, Kyriakos & Economidou, Claire & Tsionas, Efthymios G., 2014. "A Poisson Stochastic Frontier Model with Finite Mixture Structure," MPRA Paper 57485, University Library of Munich, Germany.
  73. Cabral, Celso Rômulo Barbosa & Bolfarine, Heleno & Pereira, José Raimundo Gomes, 2008. "Bayesian density estimation using skew student-t-normal mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5075-5090, August.
  74. Quiroz, Matias & Villani, Mattias, 2013. "Dynamic mixture-of-experts models for longitudinal and discrete-time survival data," Working Paper Series 268, Sveriges Riksbank (Central Bank of Sweden).
  75. Li, Mingliang & Mumford, Kevin J. & Tobias, Justin L., 2012. "A Bayesian analysis of payday loans and their regulation," Journal of Econometrics, Elsevier, vol. 171(2), pages 205-216.
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