A0594
Title: Stochastic search selection for heterogeneous panel data models
Authors: Andreas Pick - Erasmus University Rotterdam (Netherlands) [presenting]
Abstract: The aim is to present a method for selecting variables and determining parameter heterogeneity in Bayesian hierarchical panel data models. Mixture distributions are used as priors for the mean and the variance of the individuals' parameters. Selection indicators determine the best-fitting component of each mixture distribution and indicate whether the mean parameter is non-zero and whether the parameters are heterogeneous. The method is applied to panel data sets on inflation of US CPI sub-indices and house price inflation across US metropolitan statistical areas.
