Using simulation methods for bayesian econometric models: inference, development,and communication
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Publication:4237828
DOI10.1080/07474939908800428zbMATH Open0930.62105OpenAlexW1967239989MaRDI QIDQ4237828FDOQ4237828
Publication date: 9 February 2000
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474939908800428
Recommendations
prior distributionsBayes factorimportance samplingmodel specificationdiagnostic checkingMarkov chain Monte Carlo model development
Bayesian inference (62F15) Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Cites Work
- Inference from iterative simulation using multiple sequences
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- Markov chains for exploring posterior distributions. (With discussion)
- The Calculation of Posterior Distributions by Data Augmentation
- Sampling and Bayes' Inference in Scientific Modelling and Robustness
- Bayesian Analysis of Binary and Polychotomous Response Data
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- Marginal Likelihood from the Gibbs Output
- A STATISTICAL PARADOX
- Sampling-Based Approaches to Calculating Marginal Densities
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Bayes Factors
- Monte Carlo sampling methods using Markov chains and their applications
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- Statistical decision theory and Bayesian analysis. 2nd ed
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Rates of convergence of the Hastings and Metropolis algorithms
- Gibbs Sampler Convergence Criteria
- Contemporary Bayesian Econometrics and Statistics
- Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
- Testing normality in econometric models
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- Posterior and predictive densities for simultaneous equation models
- Exact predictive densities for linear models with ARCH disturbances
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- Comparing and choosing between two models with a third model in background
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Cited In (only showing first 100 items - show all)
- Induction: From Kolmogorov and Solomonoff to De Finetti and Back to Kolmogorov
- Bayesian Analysis of DSGE Models
- What are the advantages of MCMC based inference in latent variable models?
- Estimating variable returns to scale production frontiers with alternative stochastic assumptions
- Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach
- The implications of inflation in an estimated New Keynesian model
- Time reversibility of stationary regular finite-state Markov chains
- Structural analysis with multivariate autoregressive index models
- Striated Metropolis-Hastings sampler for high-dimensional models
- Robust inflation-forecast-based rules to shield against indeterminacy
- Getting It Right
- Bayesian testing for non-linearity in volatility modeling
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
- A Bayesian approach to optimal monetary policy with parameter and model uncertainty
- The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
- Pitfalls of estimating the marginal likelihood using the modified harmonic mean
- Confronting model misspecification in macroeconomics
- Monetary policy strategies for the European Central Bank
- Assessing model mimicry using the parametric bootstrap.
- Nominal vs real wage rigidities in New Keynesian models with hiring costs: a Bayesian evaluation
- Marginal likelihood calculation for the Gelfand-Dey and Chib methods
- Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
- Bayesian inference in a correlated random coefficients model: modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
- Neural Network Models for Conditional Distribution Under Bayesian Analysis
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Comparing dynamic equilibrium models to data: a Bayesian approach
- On the statistical identification of DSGE models
- Bayesian inference in models based on equilibrium search theory
- Estimation of a functional single index model with dependent errors and unknown error density
- Bayesian econometrics and forecasting. (With comments)
- Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density
- Title not available (Why is that?)
- Linear rational-expectations models with lagged expectations: a synthetic method
- Improving MCMC, using efficient importance sampling
- Bayesian bandwidth estimation for local linear fitting in nonparametric regression models
- Testing for the usefulness of forecasts
- Bayesian analysis of nested logit model by Markov chain Monte Carlo.
- Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval
- The marginal likelihood of dynamic mixture models
- Modified harmonic mean method for spatial autoregressive models
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
- Dynamics of fiscal financing in the United States
- A naïve sticky information model of households' inflation expectations
- Introduction to Bayesian Econometrics
- Multi-objective optimization using statistical models
- Markov switching stochastic frontier model
- Strategic interactions in U.S. monetary and fiscal policies
- Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
- Investment shocks and the comovement problem
- Monetary policy and sunspot fluctuations in the United States and the euro area
- Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING
- A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
- Methods for inference in large multiple-equation Markov-switching models
- Methods for computing marginal data densities from the Gibbs output
- Bayesian Approaches to Shrinkage and Sparse Estimation
- Euro area inflation persistence in an estimated nonlinear DSGE model
- A Gibbs sampler for structural vector autoregressions
- A reconsideration of money growth rules
- Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
- Forecasting Performance of an Open Economy DSGE Model
- Bayesian Model Averaging: A Systematic Review and Conceptual Classification
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- Hidden Markov model in multiple testing on dependent count data
- ARCH modeling in finance. A review of the theory and empirical evidence
- Inference for a Class of Stochastic Volatility Models Using Option and Spot Prices: Application of a Bivariate Kalman Filter
- CES technology and business cycle fluctuations
- Generalized smooth finite mixtures
- Estimating DSGE models using seasonally adjusted and unadjusted data
- Investigating the two parameter analysis of Lipovetsky for simultaneous systems
- The euro area's pandemic recession: a DSGE-based interpretation
- A Hybrid Approximation Bayesian Test of Variance Components for Longitudinal Data
- Detecting log-periodicity in a regime-switching model of stock returns
- Multicollinearity in simultaneous equations system: evaluation of estimation performance of two-parameter estimator
- Consumer misperceptions, uncertain fundamentals, and the business cycle
- A Bayesian simulation approach to inference on a multi-state latent factor intensity model
- Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation
- Business cycle implications of rising household credit market participation in emerging countries
- An econometric model of birth inputs and outputs for native americans.
- Marginal Likelihood Estimation with the Cross-Entropy Method
- Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
- A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice
- Factor adjustment costs: a structural investigation
- Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach
- Quasi-Bayesian model selection
- Inducing normality from non-Gaussian long memory time series and its application to stock return data
- New Bayesian approach to the estimation in simultaneous equations model
- Monetary policy and indeterminacy after the 2001 slump
- Imperfect information and the house price in a general-equilibrium model
- Keynesian economics without the Phillips curve
- On the stability of Calvo-style price-setting behavior
- Joint production in stochastic non-parametric envelopment of data with firm-specific directions
- The effects of public spending externalities
- What (really) accounts for the fall in hours after a technology shock?
- Bayesian inference in the triangular cointegration model using a jeffreys prior
- Non-separability and sectoral comovement in a sticky price model
- Sunspot fluctuations under zero nominal interest rates
- Default recovery rates and aggregate fluctuations
- Black Box Variational Bayesian Model Averaging
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