Posterior Simulation and Model Choice in Longitudinal Generalized Linear Models

Siddhartha Chib, Edward Greenberg and Rainer Winkelmann

No 263772, Department of Economics Discussion Papers from University of Canterbury - New Zealand

Abstract: This paper presents an approach to posterior simulation and model comparison for generalized linear models with multiple random effects. Alternative MCMC approaches for posterior simulation and alternative parameterizations are considered and compared in the context of panel data and multiple random effects. A straightforward approach for the calculation of Bayes factors from the MCMC output is developed. This approach relies on the computation of the marginal likelihood of each contending model. Estimation of modal estimates based on Monte Carlo versions of the E-M algorithm is also discussed. The methods are illustrated with several real data applications involving count data and the Poisson link function.

Keywords: Research; Methods/Statistical; Methods (search for similar items in EconPapers)
Pages: 34
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/263772/files/canterbury-nz-086.pdf (application/pdf)
https://ageconsearch.umn.edu/record/263772/files/c ... 6.pdf?subformat=pdfa (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:canzdp:263772

DOI: 10.22004/ag.econ.263772

Access Statistics for this paper

More papers in Department of Economics Discussion Papers from University of Canterbury - New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().