Arbeitspapier
Comparison of Bayesian and sample theory parametric and semiparametric binary response models
This study proposes a Bayesian semiparametric binary response model using Markov chain Monte Carlo algorithms since this Bayesian algorithm works when the maximum likelihood estimation fails. Implementing graphic processing unit computing improves the computation time because of its efficiency in estimating the optimal bandwidth of the kernel density. The study employs simulated data and Monte Carlo experiments to compare the performances of the parametric and semiparametric models. We use mean squared errors, receiver operating characteristic curves and marginal effects as model assessment criteria. Finally, we present an application to evaluate the consumer bankruptcy rates based on Canadian TransUnion data.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2022-31
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
Model Construction and Estimation
Computational Techniques; Simulation Modeling
- Thema
-
Econometric and statistical methods
Credit risk management
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Shen, Xiangjin
Karibzhanov, Iskander
Tsurumi, Hiroki
Li, Shiliang
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2022
- DOI
-
doi:10.34989/swp-2022-31
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Shen, Xiangjin
- Karibzhanov, Iskander
- Tsurumi, Hiroki
- Li, Shiliang
- Bank of Canada
Entstanden
- 2022
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