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

Hiroki Tsurumi, Tsunemasa Shiba

研究成果: Article

3 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)239-249
ページ数11
ジャーナルJournal of Econometrics
18
発行部数2
DOI
出版物ステータスPublished - 1982
外部発表Yes

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance
  • Statistics and Probability

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