Missing values in linear dynamic panel models: a Bayesian approach towards model comparison
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| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Bamberg
2017
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| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVI, 173 Seiten Illustrationen |
Internformat
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Datensatz im Suchindex
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|---|---|
| adam_text | Missing Values in
Linear Dynamic Panel Models
A Bayesian Approach towards
Model Comparison
Dissertation
Presented to the Faculty for Social Sciences, Economics, and
Business Administration at the University of Bamberg
in Partial Fulfillment of the Requirements for the Degree of
DOCTOR RERUM POLITICARUM
? by
Marcel Preising, Master of Science in Survey-Statistik
born May 15, 1986 in Herford, Germany
Date of Submission: September 21, 2017
Contents
List of Tables XI
List of Figures XV
1 Introduction 1
2 Linear Dynamic Panel Data Models - A Missing Data Prob
lem 7
2 1 An Introduction to Static and Dynamic Panel Modeling 7
2 2 Literature Overview on Estimation Approaches 10
221 Lagged Dependent Variable Model Estimation 10
222 Missing Values in the Dynamic Panel Context 14
3 Bayesian Estimation Procedures for Panel Data Models 17
3 1 Bayesian Modeling and Estimation: The Gibbs sampler 18
3 2 Static Models 19
$^321 The Pooled Panel Model 20
/
*3211 Homoscedastic Error Variances 20
3212 Heteroscedastic Error Variances 26
322 Modeling Latent Heterogeneity - Fixed and Random
Effects Models 27
3 3 The Dynamic Panel Model 31
4 Missing Values in the Panel Data Context 37
4 1 Data Augmentation 37
411 General Approach of Data Augmentation 37
VII
VIII
412 Application to Missing Data Problems 39
4121 Ignorable Missing Data Mechanisms 39
4122 An Iterative Procedure for Missing Values in
the Dynamic Panel Context 42
4 2 Augmenting Missing Values in the Response Variable 43
421 Static Models 43
4211 The Pooled Panel Model with Homoscedastic
and Heteroscedastic Error Variances 44
4212 Fixed and Random Effects Models 45
422 Dynamic Models 47
4 3 Dealing with Missing Values in the Covariates 49
5 Model Comparison - Marginal Likelihood and the Bayesian
Information Criterion 51
5 1 Marginal Likelihood from the Gibbs Output 51
511 Application to Static Fixed and Random Effects Models 53
512 Dynamic Panel Models with Missing Values 54
5 2 The Bayesian Information Criterion 57
6 Simulation Study 59
6 1 Data Generating Process 60
6 2 Missing Data Mechanisms 61
6 3 Prior Distributions and Starting Values 62
6 4 Results 62
f
i 7 Empirical Illustrations 85
7 1 Modeling Human Growth Curves 85
711 Data Description 86
712 Empirical Results 87
7 2 Modeling Current Account Balances 93
721 Data Description 93
722 Empirical Results 94
8 Concluding Remarks 103
*
I _ X
References 107
Appendix A Model Formulations, Prior and Full Conditional
Posterior Distributions 115
A l Pooled Panel Model with Heteroscedastic Error Variances 115
A11 Model Formulation 115
A12 Prior Specification of the Error Variances 116
A13 Full Conditional Posterior Distribution of the Error
Variances 116
A 2 Static Panel Model with Individual- and Time-Specific Het
erogeneity 117
A21 Model Formulation 117
A22 Prior Specifications 119
A23 Full Conditional Posterior Distributions 120
A 3 Dynamic Panel Model with Individual- and Time-Specific Het
erogeneity 123
A31 Model Formulation 123
A32 Prior Specifications 125
A33 Full Conditional Posterior Distributions 126
Appendix B Full Conditional Distributions of the Response
Variable in the Dynamic Panel Setup 129
B l Observations of the Initial Period 129
B 2 Observations from the Second to the Last Period 130
^ B21 Expectations 130
B22 Covariance Matrices 131
Appendix C Analytical Integration of the Random Effects from
the Static Completely Observed Joint Density Function 137
Appendix D Analytical Integration from the Joint Density Func
tion for the Dynamic Panel Model 141
D l Integration of Missing Values in the Initial Period from the
Incomplete Fixed Effects Joint Density Function 145
}
X
D 2 Integration of Missing Values in the Initial Period and of Ran
dom Effects from the Incomplete Random Effects Joint Den
sity Function 149
D 3 Integration of Random Effects from the Completely Observed
Dynamic Random Effects Joint Density Function 166
Appendix E Modeling Current Account Balances: Robustness
Checks 171
|
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| spelling | Preising, Marcel 1986- Verfasser (DE-588)1151326542 aut Missing values in linear dynamic panel models a Bayesian approach towards model comparison by Marcel Preising Bamberg 2017 XVI, 173 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Dissertation Otto-Friedrich-Universität Bamberg 2017 Lineares Modell (DE-588)4134827-8 gnd rswk-swf Bayes-Verfahren (DE-588)4204326-8 gnd rswk-swf Panelanalyse (DE-588)4173172-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bayes-Verfahren (DE-588)4204326-8 s Lineares Modell (DE-588)4134827-8 s Panelanalyse (DE-588)4173172-4 s DE-604 HEBIS Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030126273&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Preising, Marcel 1986- Missing values in linear dynamic panel models a Bayesian approach towards model comparison Lineares Modell (DE-588)4134827-8 gnd Bayes-Verfahren (DE-588)4204326-8 gnd Panelanalyse (DE-588)4173172-4 gnd |
| subject_GND | (DE-588)4134827-8 (DE-588)4204326-8 (DE-588)4173172-4 (DE-588)4113937-9 |
| title | Missing values in linear dynamic panel models a Bayesian approach towards model comparison |
| title_auth | Missing values in linear dynamic panel models a Bayesian approach towards model comparison |
| title_exact_search | Missing values in linear dynamic panel models a Bayesian approach towards model comparison |
| title_full | Missing values in linear dynamic panel models a Bayesian approach towards model comparison by Marcel Preising |
| title_fullStr | Missing values in linear dynamic panel models a Bayesian approach towards model comparison by Marcel Preising |
| title_full_unstemmed | Missing values in linear dynamic panel models a Bayesian approach towards model comparison by Marcel Preising |
| title_short | Missing values in linear dynamic panel models |
| title_sort | missing values in linear dynamic panel models a bayesian approach towards model comparison |
| title_sub | a Bayesian approach towards model comparison |
| topic | Lineares Modell (DE-588)4134827-8 gnd Bayes-Verfahren (DE-588)4204326-8 gnd Panelanalyse (DE-588)4173172-4 gnd |
| topic_facet | Lineares Modell Bayes-Verfahren Panelanalyse Hochschulschrift |
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