EconPapers    
Economics at your fingertips  
 

Bayesian Inference in Dynamic Disequilibrium Models: an Application to the Polish Credit Market

Luc Bauwens () and Michel Lubrano ()

No 2006027, Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques

Abstract: We review Bayesian inference for dynamic latent variable models using the data augmentation principle. We detail the difficulties of stimulating dynamic latent variables in a Gibbs sampler. We propose an alternative specification of the dynamic disequilibrium model which leads to a simple simulation procedure and renders Bayesian inference fully operational. Identification issues are discussed. We conduct a specification search using the posterior deviance criterion of Spiegelhalter, Best, Carlin, and van der Linde (2002) for a disequilibrium model of the Polish credit market.

Keywords: Latent variables; Disequilibrium models; Bayesian inference; Gibbs sampler; Credit rationing (search for similar items in EconPapers)
JEL-codes: C11 C32 C34 E51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mac
Date: 2006-05-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://sites.uclouvain.be/econ/DP/IRES/2006-27.pdf (application/pdf)

Related works:
Journal Article: Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market (2007) Downloads
Working Paper: Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (2007) Downloads
Working Paper: Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market (2006) Downloads
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:ctl:louvec:2006027

Access Statistics for this paper

More papers in Discussion Papers (ECON - Département des Sciences Economiques) from Université catholique de Louvain, Département des Sciences Economiques Place Montesquieu 3, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Virginie LEBLANC ().

 
Page updated 2019-06-24
Handle: RePEc:ctl:louvec:2006027