A bayesian analysis of a random coefficient model in a simple keynesian system

Hiroki Tsurumi, Tsunemasa Shiba

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

The marginal propensity to consume in a simple Keynesian model is treated as a random coefficient. This gives rise to the problem of quotient of random variables, i.e., the Fieller-Creasy problem. The Bayesian and maximum likelihood estimators are compared in sampling experiments. The Bayesian estimators have smaller mean squared errors than the maximum likelihood estimators. Marginal posterior probability density functions for a given sample are also presented.

Original languageEnglish
Pages (from-to)239-249
Number of pages11
JournalJournal of Econometrics
Volume18
Issue number2
DOIs
Publication statusPublished - 1982
Externally publishedYes

Fingerprint

Random Coefficient Models
Bayesian Analysis
Maximum Likelihood Estimator
Bayesian Estimator
Random Coefficients
Posterior Probability
Mean Squared Error
Probability density function
Quotient
Random variable
Experiment
Maximum likelihood estimator
Random coefficient models
Bayesian analysis
Model
Mean squared error
Estimator
Random coefficients
Posterior probability
Random variables

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Statistics and Probability

Cite this

A bayesian analysis of a random coefficient model in a simple keynesian system. / Tsurumi, Hiroki; Shiba, Tsunemasa.

In: Journal of Econometrics, Vol. 18, No. 2, 1982, p. 239-249.

Research output: Contribution to journalArticle

Tsurumi, Hiroki ; Shiba, Tsunemasa. / A bayesian analysis of a random coefficient model in a simple keynesian system. In: Journal of Econometrics. 1982 ; Vol. 18, No. 2. pp. 239-249.
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