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

Student
Title
Supervisor
Faculty
Educational Programme
Final Grade
Year of Graduation
Artem Yazy'kov
Bayesian Approach to the Estimation of Simultaneous Equations Model with Qualitative Dependent Variables Applied to Twin Crisis
Master’s programme
2014
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.

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.

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