Research Article
Bayesian Estimation of Archimedean Copula-Based SUR Quantile Models
Table 9
Estimates of the parameters and their standard errors.
| | Parameter | Weak prior | Diffusion prior | Informative prior | | | | | | | | | |
| | −0.0057 (0.0042) | −0.0005 (0.0001) | 0.0848 (0.0003) | −0.0514 (0.0132) | 0.0071 (0.0012) | 0.0750 (0.0445) | −0.0420 (0.0102) | 0.0091 (0.0022) | −0.0662 (0.0004) | | 1.3604 (0.0141) | 0.3232 (0.0247) | 0.5866 (0.0033) | 1.2079 (0.1158) | 0.9491 (0.1442) | 0.4971 (0.1254) | 1.7481 (0.0212) | 0.7030 (0.0254) | 1.6397 (0.0047) | | −0.0112 (0.0016) | −0.0011 (0.0001) | −0.0023 (0.0002) | −0.0013 (0.0002) | −0.0021 (0.0010) | −0.0004 (0.0002) | −0.0031 (0.0011) | −0.0053 (0.0001) | −0.006 (0.0002) | | −0.0006 (0.0015) | −0.0001 (0.0001) | −0.0007 (0.0001) | −0.0015 (0.0021) | −0.0002 (0.0002) | −0.0001 (0.0010) | −0.0010 (0.0015) | −0.0008 (0.0001) | −0.0021 (0.0002) | | −0.0124 (0.0028) | −0.0015 (0.0001) | 0.0231 (0.0012) | −0.0538 (0.0144) | −0.0562 (0.0254) | 0.0597 (0.0223) | −0.0448 (0.0024) | −0.0020 (0.0002) | 0.0577 (0.0012) | | 0.8528 (0.0011) | 0.7995 (0.0022) | 0.4134 (0.0049) | 1.6114 (0.1482) | 1.0801 (0.2443) | 0.8571 (0.1840) | 1.8110 (0.0022) | 1.0664 (0.0065) | 0.6558 (0.0053) | | −0.0044 (0.0015) | −0.0028 (0.0001) | −0.0124 (0.0001) | −0.0019 (0.0023) | −0.0050 (0.0012) | −0.0013 (0.0001) | −0.0034 (0.0014) | −0.0015 (0.0001) | −0.0043 (0.0001) | | −0.0446 (0.0024) | −0.0001 (0.0001) | −0.0003 (0.0001) | −0.0004 (0.0001) | −0.0003 (0.0002) | −0.0009 (0.0003) | −0.0314 (0.0022) | −0.0007 (0.0001) | −0.0003 (0.0001) | | −0.0111 (0.0039) | 0.0025 (0.0011) | 0.0428 (0.0021) | −0.0541 (0.0113) | 0.0042 (0.0022) | 0.0547 (0.0123) | −0.0431 (0.0042) | 0.0030 (0.0012) | 0.0546 (0.0020 | | 1.3206 (1.0111) | 1.1543 (0.0033) | 0.8983 (0.3241) | 0.9690 (1.0031) | 0.8371 (0.0412) | 0.7745 (0.4112) | 1.7503 (1.0032) | 1.0361 (0.0022) | 0.6351 (0.3214) | | −0.0011 (0.0020) | −0.0022 (0.0001) | −0.0485 (0.0023) | −0.0045 (0.0022) | −0.0013 (0.0005) | −0.0122 (0.0034) | −0.0078 (0.0032) | −0.0058 (0.0010) | −0.0068 (0.0015) | | −0.0058 (0.0023) | −0.00028 (0.0001) | −0.0006 (0.0003) | −0.0021 (0.0015) | 0.0001 (0.0001) | −0.0002 (0.0003) | −0.0017 (0.0008) | −0.0003 (0.0002) | −0.0004 (0.0002) | | Copula | Clayton | Frank | Clayton | Clayton | Frank | Clayton | Clayton | Frank | Clayton | | 8.1421 (0.0121) | 0.0001 (0.0012) | 13.6251 (0.8812) | 7.6548 (0.0135) | 0.0001 (0.0001) | 10.6257 (0.5547) | 5.9844 (1.3554) | 0.0001 (0.0001) | 11.2898 (1.0548) |
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Note: the brackets ( ) denote the standard deviation.
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