Essays on Semi-parametric Bayesian Econometric Methods

This dissertation consists of three chapters on semi-parametric Bayesian Econometric methods. Chapter 1 applies a semi-parametric method to demand systems, and compares the abilities to recover the true elasticities of different approaches to linearly estimating the widely used Almost Ideal demand model, by either iteration or approximation. Chapter 2 co-authored with Dr. Melvyn Weeks introduces a new semi-parametric Bayesian Generalized Least Square estimator, which employs the Dirichlet Process prior to cope with potential heterogeneity in the error distributions. Two methods are discussed as special cases of the GLS estimator, the Seemingly Unrelated Regression for equation systems, and the Random Effects Model for panel data, which can be applied to many fields such as the demand analysis in Chapter 1. Chapter 3 focuses on the subset selection for the efficiencies of firms, which addresses the influence of heterogeneity in the distributions of efficiencies on subset selections by applying the semi-parametric Bayesian Random Effects Model introduced in Chapter 2.

Name dc:type.qualificationname

Doctor of Philosophy (PhD)

Level dc:type.qualificationlevel

Doctoral

Grantor dc:publisher.institution

University of Cambridge

Year dc:date.issued

2018

Author dc:creator

• Wu, Ruochen

Advisor dc:contributor.advisor

• Weeks, Melvyn

• Semi-parametric Bayesian methods
• Demand system
• Dirichlet Process
• Generalized Least Square
• Subset selection
• Heterogeneity

Licence

• https://www.repository.cam.ac.uk/bitstreams/14590589-954c-4a19-b838-9b5073847920/download
• https://www.rioxx.net/licenses/all-rights-reserved/

Language dc:language

en

DOI dc:identifier.doi

https://doi.org/10.17863/CAM.36006

OAI identifier oai:identifier

oai:www.repository.cam.ac.uk:1810/288745