Bayesian Variants of Some classical Semiparametric Regression Techniques

Gary Koop and Dale J Poirer

Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh

Abstract: This paper develops new Bayesian methods for semiparametric inference in the partial linear Normal regression model: y = z*beta + f(x) + epsilon, where f(.) is an unknown function. These methods draw solely on the Normal linear regression model with natural conjugate prior. Hence, analytical finite sample results are available which do not suffer from problems of theoretical and computational complexity which plague the existing literature. Constrained and unconstrained estimation are considered as is testing of parametric regression models against semiparametric alternatives and prediction. We discuss how these methods can, at some cost in terms of computational complexity, be extended to other models (e.g. qualitative choice models or those involving censoring or truncation) and provide precise details for semiparametric probit and tobit models. We show how the assumption of Normal errors can easily be relaxed. Our methods are illustrated using artificial and real data sets.

Pages: 41
Date: 2001-04
New Economics Papers: this item is included in nep-dev and nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.econ.ed.ac.uk/papers/id73_esedps.pdf

Related works:
Journal Article: Bayesian variants of some classical semiparametric regression techniques (2004)
Working Paper: Bayesian Variants of Some Classical Semiparametric Regression Techniques (2000)
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:edn:esedps:73

Access Statistics for this paper

More papers in Edinburgh School of Economics Discussion Paper Series from Edinburgh School of Economics, University of Edinburgh 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().