Bayesian Inference in the Social Sciences

List of Figures iii

1 Bayesian Analysis of Dynamic Network Regression with Joint Edge/Vertex Dynamics 1
Zack W. Almquist and Carter T. Butts

1.1 Introduction 2

1.2 Statistical Models for Social Network Data 2

1.3 Dynamic Network Logistic Regression with Vertex Dynamics 11

1.4 Empirical Examples and Simulation Analysis 14

1.5 Discussion 29

1.6 Conclusion 30

2 Ethnic Minority Rule and Civil War: A Bayesian Dynamic Multilevel Analysis 39
Xun Pang

2.1 Introduction: Ethnic Minority Rule and Civil War 40

2.2 EMR: Grievance and Opportunities of Rebellion 41

2.3 Bayesian GLMM-AR(p) Model 42

2.4 Variables, Model and Data 47

2.5 Empirical Results and Interpretation 49

2.6 Civil War: Prediction 54

2.7 Robustness Checking: Alternative Measures of EMR 59

2.8 Conclusion 60

References 62

3 Bayesian Analysis of Treatment Effect Models 67
Mingliang Li and Justin L. Tobias

3.1 Introduction 68

3.2 Linear Treatment Response Models Under Normality 69

3.3 Nonlinear Treatment Response Models 73

3.4 Other Issues and Extensions: Non-Normality, Model Selection and Instrument Imperfection 78

3.5 Illustrative Application 84

3.6 Conclusion 89

4 Bayesian Analysis of Sample Selection Models 95
Martijn van Hasselt

4.1 Introduction 95

4.2 Univariate Selection Models 97

4.3 Multivariate Selection Models 101

4.4 Semiparametric Models 111

4.5 Conclusion 114

References 114

5 Modern Bayesian Factor Analysis 117
Hedibert Freitas Lopes

5.1 Introduction 117

5.2 Normal linear factor analysis 119

5.3 Factor stochastic volatility 125

5.4 Spatial factor analysis 128

5.5 Additional developments 133

5.6 Modern non-Bayesian factor analysis 136

5.7 Final remarks 137

6 Estimation of stochastic volatility models with heavy tails and serial dependence 159
Joshua C.C. Chan and Cody Y.L. Hsiao

6.1 Introduction 159

6.2 Stochastic Volatility Model 160

6.3 Moving Average Stochastic Volatility Model 168

6.4 Stochastic Volatility Models with Heavy-Tailed Error Distributions 173

References 178

7 From the Great Depression to the Great Recession: A Modelbased Ranking of U.S. Recessions 181
Rui Liu and Ivan Jeliazkov

7.1 Introduction 181

7.2 Methodology 183

7.3 Results 188

7.4 Conclusions 191

Appendix: Data 192

References 192

8 What Difference Fat Tails Make: A Bayesian MCMC Estimation of Empirical Asset Pricing Models 201
Paskalis Glabadanidis

8.1 Introduction 202

8.2 Methodology 204

8.3 Data 205

8.4 Empirical Results 206

8.5 Concluding Remarks 212

9 Stochastic Search For Price Insensitive Consumers 227
Eric Eisenstat

9.1 Introduction 228

9.2 Random utility models in marketing applications 230

9.3 The censored mixing distribution in detail 234

9.4 Reference price models with price thresholds 240

9.5 Conclusion 244

References 245

10 Hierarchical Modeling of Choice Concentration of US Households 249
Karsten T. Hansen, Romana Khan and Vishal Singh

10.1 Introduction 250

10.2 Data Description 252

10.3 Measures of Choice Concentration 252

10.4 Methodology 254

10.5 Results 256

10.6 Interpreting θ 260

10.7 Decomposing the effects of time, number of decisions and concentration preference 263

10.8 Conclusion 265

References 267

11 Approximate Bayesian inference in models defined through estimating equations 269

11.1 Introduction 269

11.2 Examples 271

11.3 Frequentist estimation 273

11.4 Bayesian estimation 276

11.5 Simulating from the posteriors 281

11.6 Asymptotic theory 283

11.7 Bayesian validity 285

11.8 Application 286

11.9 Conclusions 288

12 Reacting to Surprising Seemingly Inappropriate Results 295
Dale J. Poirier

12.1 Introduction 295

12.2 Statistical Framework 296

12.3 Empirical Illustration 300

12.4 Discussion 301

References 301

13 Identification and MCMC estimation of bivariate probit models with partial observability 303
Ashish Rajbhandari

13.1 Introduction 303

13.2 Bivariate Probit Model 305

13.3 Identification in a partially observable model 307

13.4 Monte Carlo Simulations 308

13.5 Bayesian Methodology 309

13.6 Application 312

13.7 Conclusion 315

Chapter Appendix 316

References 317

14 School Choice Effects in Tokyo Metropolitan Area: A Bayesian Spatial Quantile Regression Approach 321
Kazuhiko Kakamu and Hajime Wago

14.1 Introduction 321

14.2 The Model 323

14.3 Posterior Analysis 325

14.4 Empirical Analysis 326

14.5 Conclusions 330