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

Bauwens, Luc;Lubrano, Michel
(2007) Econometric Reviews — Vol. 26, n° 2-4, p. 469-486 (2007)

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  • Bauwens, Lucorcid-logoUCLouvain
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  • Lubrano, Michel
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Abstract
We propose a Bayesian approach for inference in a dynamic disequilibrium model. To circumvent the difficulties raised by the Maddala and Nelson (1974) specification in the dynamic case, we analyze a dynamic extended version of the disequilibrium model of Ginsburgh et al. (1980). We develop a Gibbs sampler based on the simulation of the missing observations. The feasibility of the approach is illustrated by an empirical analysis of the Polish credit market, for which we conduct a specification search using the posterior deviance criterion of Spiegelhalter et al. (2002).
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Bauwens, L., & Lubrano, M. (2007). Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market. Econometric Reviews, 26(2-4), 469-486. https://doi.org/10.1080/07474930701220634 (Original work published 2007)