Bayesian Approach to the Estimation of Simultaneous Equations Model with Qualitative Dependent Variables Applied to Twin Crisis

Student: Yazy`kov Artem

Educational Programme: Master

Year of Graduation: 2014

<p>In this paper we adopt a Bayesian approach to estimate parameters of systems seemingly unrelated equations with qualitative dependent variables, and also takes into account possible correlations between the dependent variables.<br />The algorithm is tested on real and synthetic data sets. We compare the performance of simulation maximum likelihood and the parameter expansion data augmentation (PXDA) algorithm. To demonstrate  implementation of PXDA algorithm  we analyze relationship between the two types of financial crises: currency (also known as the balance of payments crisis) and banking crisis.</p>

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