Bayesian non- and semi-parametric methods and applications
Language: English Series: The econometric and tinbergen institutes lectures | / edited by Herman K. van Dijk and Philip Hans FransesPublication details: Princeton University Press 2014 PrincetonDescription: xiii, 202pISBN:- 9780691145327
- 330.01519542 R735b
Item type | Current library | Collection | Call number | Status | Date due | Barcode | Item holds | |
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PK Kelkar Library, IIT Kanpur | General Stacks | 330.01519542 R735b (Browse shelf(Opens below)) | Available | A186709 |
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330.015195 W882i3 Introductory econometrics | 330.015195 Z39S STATISTICS, ECONOMETRICS AND FORECASTING | 330.01519542 G337C CONTEMPORARY BAYESIAN ECONOMETRICS AND STATISTICS | 330.01519542 R735b Bayesian non- and semi-parametric methods and applications | 330.0151955 AP37 APPLIED TIME SERIES ECONOMETRICS | 330.0151955 B918M MODELLING NON-STATIONARY ECONOMIC TIME SERIES | 330.015196 L974m Mathematical optimization and economic analysis |
This book reviews and develops Bayesian non-parametric and semi-parametric methods for applications in microeconometrics and quantitative marketing. Most econometric models used in microeconomics and marketing applications involve arbitrary distributional assumptions. As more data becomes available, a natural desire to provide methods that relax these assumptions arises. Peter Rossi advocates a Bayesian approach in which specific distributional assumptions are replaced with more flexible distributions based on mixtures of normals. The Bayesian approach can use either a large but fixed number of normal components in the mixture or an infinite number bounded only by the sample size. By using flexible distributional approximations instead of fixed parametric models, the Bayesian approach can reap the advantages of an efficient method that models all of the structure in the data while retaining desirable smoothing properties. Non-Bayesian non-parametric methods often require additional ad hoc rules to avoid "overfitting," in which resulting density approximates are nonsmooth. With proper priors, the Bayesian approach largely avoids overfitting, while retaining flexibility. This book provides methods for assessing informative priors that require only simple data normalizations. The book also applies the mixture of the normals approximation method to a number of important models in microeconometrics and marketing, including the non-parametric and semi-parametric regression models, instrumental variables problems, and models of heterogeneity. In addition, the author has written a free online software package in R, "bayesm," which implements all of the non-parametric models discussed in the book.
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