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  • Bayesian estimation for parameters of varying coefficient models

    Hi guys,

    I'm conducting my thesis and I'm getting trouble with the ways to conduct Bayesian estimation for the equation (pic 2). Can anyone help me to figure out what commands can I use to estimate this varying coefficient equation
    Thanks a lot.
    Attached Files

  • #2
    The model appears to refer to panel data (firms by year) in which there is a random intercept (mu_i) and one random slope (beta_1). It is unclear why one needs Bayesian methods to fit this model: see e.g. mixed. But you can use Bayesian methods: have you looked already at help bayesian estimation ? If not, why not? [Please see the Forum FAQ about how to post good questions.] As the help file shows, mixed models can fitted using Bayesian methods in Stata.

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    • #3
      First of all, thanks a lot for helping Mr.Jenkins.

      Regarding the reasons why I want to use bayesian to estimate firm-varying coefficient (beta_1_i), it is because the number of parameters to be estimated is large when using other methods like OLS and other techniques also involve many normality assumptions as well. As a result, bayesian estimation method is a more appropriate method for a full probabilistic inference of all parameters (including the firm varying ones).

      I have tried the mixed command, however, I still have some questions regarding this topic, so can you help me to solve these problems ^^:
      1. The picture below is my draft running, so can you check whether I have conducted the right estimation or not?
      (as you can see in the table 3 above, there is a line said that dependent variable is (deltaCH_i_t) / (TA_i_t-1) while the dependent variable in equation 2 is (deltaCH_i_t) / (TA_i_t), so do I need to change the data of dependent variable)

      2. I need to include the time dummies for the estimation to compare with no time dummies, so how can I do it?

      3. As you can see in the table 3 (the picture above), I need to display the information regarding firm-varying coefficient like (minimum, maximum, % > 0, % <0,...) but the results seem to have some figures only, how can I display the remaining. And I want to confirm whether the coefficient that I want to estimate is {U1:firm1}

      4. The density graph when I display the graph of parameters is kernel density graph right?

      Once again, thank you for assisting me with stata.

      Best regards,
      Attached Files
      Last edited by Linh Trang Nguyen; 15 Feb 2018, 01:50.

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