The Estimation of Dynamic Bivariate Mixture Models
Reply to Liesenfeld and Richard Comments
Bibliographic Data
| ID | 19417364 |
|---|---|
| Authors | Toshiaki Watanabe (0000-0003-3947-2294, Tokyo Metropolitan University, corresponding author) |
| Year | 2003 |
| Volume | 21 |
| Issue | 4 |
| Pages | 577-580 |
| Publication date | 2003-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500103288619304 |
| OpenAlex | W2069823102 |
| Language | EN |
| References cited | 13 |
Watanabe estimated the dynamic bivariate mixture models introduced by Tauchen and Pitts and modified by Andersen using a Bayesian method via Markov chain Monte Carlo techniques. Based on a maximum likelihood method via efficient importance sampling, Liesenfeld and Richard obtained estimates that are significantly different from those of Watanabe. This note corrects the error in the multimove sampler used by Watanabe and reproduces all analyses in the work of Watanabe using a corrected multimove sampler. The estimates using the correct multimove sampler are found to be close to those obtained by Liesenfeld and Richard
Bayesian probability · Bivariate analysis · Econometrics · Importance sampling · Markov chain · Markov chain Monte Carlo · Maximum likelihood · Monte Carlo method · Statistics · Bayesian Methods and Mixture Models · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Statistical Distribution Estimation and Applications · Applied Mathematics
| Citation velocity | historical |
|---|---|
| Highly cited | No |