Multivariate effect priors in bivariate semiparametric recursive Gaussian models

Hauke Thaden, Nadja Klein and Thomas Kneib

Computational Statistics & Data Analysis, 2019, vol. 137, issue C, 51-66

Abstract: Modeling complex relationships and interactions between variables is an ongoing statistical challenge. In particular, the joint modeling of multiple response variables is of great interest in methodological and applied research. Within this context the incorporation of semiparametric predictors into Bayesian recursive simultaneous equation models is considered. Extending the existing framework by imposing effect priors that account for potential correlation of the effects across equations allows for borrowing strength across equations as with multivariate conditional autoregressive priors used for the analysis of multivariate spatial data. A Gibbs sampler is implemented for the estimation and evaluated in an elaborate simulation study where the intra-equation correlation allows for more efficient posterior estimation. The applicability of the novel modeling approach is illustrated with real data examples on malnutrition in Asia and Africa as well as the analysis of plant and species richness with respect to environmental diversity.

Keywords: Correlated effects; Multivariate conditional autoregressive prior; Penalized splines; Recursive models; Semiparametric regression; Simultaneous equation model (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947318302834
Full text for ScienceDirect subscribers only.

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:eee:csdana:v:137:y:2019:i:c:p:51-66

DOI: 10.1016/j.csda.2018.12.004

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().