Bayesian local influence analysis : With an application to stochastic frontiers

Tsionas, Mike G. (2018) Bayesian local influence analysis : With an application to stochastic frontiers. Economics Letters, 165. pp. 54-57. ISSN 0165-1765

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Abstract

A Bayesian alternative to Zhuo (2018) is presented. The method is of general interest as it presents an explicit formula for the local sensitivity of log marginal likelihood when observations vary by a small amount. The remarkable feature is that the formula is very easy to compute and does not require knowledge of the marginal likelihood which is, invariably, extremely difficult to compute. Similar expressions are derived for posterior moments and other functions of interest, including inefficiency. Methods for examining prior sensitivity in a straightforward way are also presented. The methods are illustrated in the context of a stochastic production frontier.

Item Type:

Journal Article

Journal or Publication Title:

Economics Letters

Additional Information:

This is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters, 165, 2018 DOI: 10.1016/j.econlet.2018.02.005

Uncontrolled Keywords:

/dk/atira/pure/subjectarea/asjc/2000/2003

Subjects:

?? local influencebayesian analysismarginal likelihoodposterior momentsmarkov chain monte carlofinanceeconomics and econometrics ??

Departments:

Lancaster University Management School > Economics

ID Code:

123481

Deposited By:

ep_importer_pure

Deposited On:

20 Feb 2018 17:49

Refereed?:

Yes

Published?:

Published

Last Modified:

24 Aug 2024 23:41

URI:

https://eprints.lancs.ac.uk/id/eprint/123481