CONJUGATE BAYESIAN PANEL DATA MODEL
AMEERA JABER MOHAISEN *
Department of Mathematics, College of Education for Pure Science, AL-Basrah University, Iraq.
SAJA YASEEN ABDULSAMAD *
Department of Mathematics, College of Education for Pure Science, AL-Basrah University, Iraq.
*Author to whom correspondence should be addressed.
Abstract
The main thrust of the paper is the description of techniques devoted perform Bayesian inference based on Markov Chain Monte Carlo. This paper investigates panel data model which has fixed and random effects as well as the experimental error term. Then, a Bayesian approach based on conjugate prior is employed to make inferences on the model coefficients. We investigate the posterior density and identify the analytic form of the Bayes factor.
Keywords: Panel data model, likelihood function, Bayesian method, prior distribution, conjugate prior, posterior distribution, Bayes factor