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Data Science Seminar Date: Friday, 15 September 2023 Time: 2:00 - 3:00 PM Venue: NKN Hall Flexible Bayesian Quantile Analysis of Residential Rental Rates Mohammad Arshad Rahaman IIT Kanupur. 15-09-2023 Abstract In this seminar, we present a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be unsuitable. Our approach is Bayesian and builds upon the generalized asymmetric Laplace distribution to decouple the modeling of skewness from the quantile parameter. We derive an efficient simulation-based estimation algorithm, demonstrate its properties and performance in targeted simulation studies, and employ it in the computation of marginal likelihoods to enable formal Bayesian model comparisons. The methodology is applied in a study of U.S. residential rental rates following the Global Financial Crisis. Our empirical results provide interesting insights on the interaction between rents and economic, demographic and policy variables, weigh in on key modeling features, and overwhelmingly support the additional flexibility at nearly all quantiles and across several sub-samples. The practical differences that arise as a result of allowing for flexible modeling can be nontrivial, especially for quantiles away from the median. Short Bio: Mohammad Arshad Rahman is a tenured Associate Professor in the Department of Economic Sciences at the Indian Institute of Technology Kanpur (IITK), India. He joined IITK as an Assistant Professor in July 2013 and was promoted to Associate Professor in December 2019. While on leave from IITK, he has worked as an Associate Professor in the College of Business at Zayed University, United Arab Emirates, between December 2020—December 2022, and as a lecturer in the Department of Economicsat the University of California, Irvine, United States, in the summer of 2014. Arshad received his Ph.D. in Economics from the Department of Economics at the University of California, Irvine (2013) under the guidance of Ivan Jeliazkov (Chair), Dale J. Poirier, David Brownstone, and Fabio Milani. Arshad received his Ph.D. in Economics from the Department of Economics at the University of California, Irvine (2013) under the guidance of Ivan Jeliazkov (Chair), Dale J. Poirier, David Brownstone, and Fabio Milani. His research interest includes Bayesian Econometrics, Quantile Regression, Markov chain Monte Carlo Techniques, Measurement Error, Computation and Data Analysis, and Program and Policy Evaluation.His research interest includes Bayesian Econometrics, Quantile Regression, Markov chain Monte Carlo Techniques, Measurement Error, Computation and Data Analysis, and Program and Policy Evaluation.
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