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Bayesian Inference for State Space Model with Panel Data

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Pandey R., Chaturvedi A.
Statistics in Transition new series
|
2016
|
vol. 17
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issue 2
211-220
EN
The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making.
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