Additive cubic spline regression with Dirichlet process mixture errors

Siddhartha Chib and Edward Greenberg

Journal of Econometrics, 2010, vol. 156, issue 2, 322-336

Abstract: The goal of this article is to develop a flexible Bayesian analysis of regression models for continuous and categorical outcomes. In the models we study, covariate (or regression) effects are modeled additively by cubic splines, and the error distribution (that of the latent outcomes in the case of categorical data) is modeled as a Dirichlet process mixture. We employ a relatively unexplored but attractive basis in which the spline coefficients are the unknown function ordinates at the knots. We exploit this feature to develop a proper prior distribution on the coefficients that involves the first and second differences of the ordinates, quantities about which one may have prior knowledge. We also discuss the problem of comparing models with different numbers of knots or different error distributions through marginal likelihoods and Bayes factors which are computed within the framework of Chib (1995) as extended to DPM models by Basu and Chib (2003). The techniques are illustrated with simulated and real data.

Keywords: Additive; regression; Bayes; factors; Cubic; spline; Non-parametric; regression; Dirichlet; process; Dirichlet; process; mixture; Marginal; likelihood; Markov; chain; Monte; Carlo; Metropolis-Hastings; Model; comparison; Ordinal; data (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:156:y:2010:i:2:p:322-336

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