Markov chain Monte Carlo analysis of correlated count data

Citation
S. Chib et R. Winkelmann, Markov chain Monte Carlo analysis of correlated count data, J BUS ECON, 19(4), 2001, pp. 428-435
Citations number
17
Categorie Soggetti
Economics
Journal title
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
ISSN journal
07350015 → ACNP
Volume
19
Issue
4
Year of publication
2001
Pages
428 - 435
Database
ISI
SICI code
0735-0015(200110)19:4<428:MCMCAO>2.0.ZU;2-2
Abstract
This article is concerned with the analysis of correlated count data. A cla ss of models is proposed in which the correlation among the counts is repre sented by correlated latent effects. Special cases of the model are discuss ed and a tuned and efficient Markov chain Monte Carlo algorithm is develope d to estimate the model under both multivariate normal and multivariate-t a ssumptions on the latent effects. The methods are illustrated with two real data examples of six and sixteen variate correlated counts.