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Estimating the Markov-Switching Almost Ideal Demand Systems: a Bayesian Approach
http://hdl.handle.net/2241/117036
http://hdl.handle.net/2241/1170368d248bf5-469a-40d2-9ee6-934b04f00cec
名前 / ファイル | ライセンス | アクション |
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1289.pdf (428.0 kB)
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Item type | Technical Report(1) | |||||
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公開日 | 2012-05-22 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Estimating the Markov-Switching Almost Ideal Demand Systems: a Bayesian Approach | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | open access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||
著者 |
KABE, Satoshi
× KABE, Satoshi× 金澤, 雄一郎 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Allais and Nich`ele (2007) proposed a Markov-switching almost ideal demand system (MS-AIDS) model by extending the idea of Hamilton (1989). This model enables us to determine when the regime shifts occurred and to estimate parameters characterized across the different regimes. Moreover, degree of belongingness to each of the regimes and transitions between regimes are quantified by the probabilities. In this paper, we propose a Bayesian estimation for MSAIDS model and illustrate applicability of our proposed method. The Bayesian estimation has some important advantages. First, it enables us to avoid the singularity problem suggested by Hamilton (1990, 1991). Second, our proposed Bayesian estimation ensures that transition probabilities lie between zero and one. Third, Bayesian estimation is able to avoid the messy calculations entailed in the score functions of log-likelihood. We then run a simulation study to confirm the validity of the proposed method. In the empirical study on the Japanese meat market, we found that our Bayesian estimation improves the mean squared errors for all meat products over the maximum likelihood estimation, while successfully capturing the regime shifts of meat demand coinciding with the timing of Bovine Spongiform Encephalopathy (BSE) cases in Japan and U.S. |
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言語 | en | |||||
書誌情報 |
発行日 2012-03 |
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出版者 | ||||||
言語 | en | |||||
出版者 | University of Tsukuba. Graduate School of Systems and Information Engineering. Doctoral Program in Social Systems & Management | |||||
シリーズ | ||||||
言語 | en | |||||
関連名称 | Department of Social Systems and Management Discussion Paper Series;no.1289 |