Using simulation methods for bayesian econometric models: inference, development,and communication

DOI10.1080/07474939908800428MaRDI QIDQ4237828zbMATH OpenOpenAlexFDO

Authors John Geweke

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

zbMATH Keywords

prior distributionsBayes factorimportance samplingmodel specificationdiagnostic checkingMarkov chain Monte Carlo model development

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cited in

(only showing first 100 items - show all)

• Forecasting Performance of an Open Economy DSGE Model
• Comparing stochastic volatility specifications for large Bayesian VARs
• Improving bridge estimators via \(f\)-GAN
• Bayesian Model Averaging: A Systematic Review and Conceptual Classification
• scientific article; zbMATH DE number 1943891 (Why is no real title available?)
• Bounded rationality and heterogeneous expectations: Euler versus anticipated-utility approach
• 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
• Auxiliary particle filtering with lookahead support for univariate state space models
• Multivariate Pareto Distributions: Inference and Financial Applications
• Generalized smooth finite mixtures
• Estimating DSGE models using seasonally adjusted and unadjusted data
• CES technology and business cycle fluctuations
• Investigating the two parameter analysis of Lipovetsky for simultaneous systems
• The euro area's pandemic recession: a DSGE-based interpretation
• Estimating variable returns to scale production frontiers with alternative stochastic assumptions
• Measuring technical and allocative inefficiency in the translog cost system: a Bayesian approach
• Induction: From Kolmogorov and Solomonoff to De Finetti and Back to Kolmogorov
• Bayesian Analysis of DSGE Models
• A Hybrid Approximation Bayesian Test of Variance Components for Longitudinal Data
• Detecting log-periodicity in a regime-switching model of stock returns
• What are the advantages of MCMC based inference in latent variable models?
• 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
• The implications of inflation in an estimated New Keynesian model
• Business cycle implications of rising household credit market participation in emerging countries
• An econometric model of birth inputs and outputs for native americans.
• Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation
• Marginal Likelihood Estimation with the Cross-Entropy Method
• Time reversibility of stationary regular finite-state Markov chains
• Structural analysis with multivariate autoregressive index models
• Striated Metropolis-Hastings sampler for high-dimensional models
• 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
• Robust inflation-forecast-based rules to shield against indeterminacy
• Factor adjustment costs: a structural investigation
• Bayesian testing for non-linearity in volatility modeling
• A Bayesian approach to optimal monetary policy with parameter and model uncertainty
• A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
• Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach
• Getting It Right
• Pitfalls of estimating the marginal likelihood using the modified harmonic mean
• Confronting model misspecification in macroeconomics
• The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
• Assessing model mimicry using the parametric bootstrap.
• Monetary policy strategies for the European Central Bank
• Marginal likelihood calculation for the Gelfand-Dey and Chib methods
• Nominal vs real wage rigidities in New Keynesian models with hiring costs: a Bayesian evaluation
• Quasi-Bayesian model selection
• Bayesian inference in a correlated random coefficients model: modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
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• Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
• Inducing normality from non-Gaussian long memory time series and its application to stock return data
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Neural Network Models for Conditional Distribution Under Bayesian Analysis
• On the statistical identification of DSGE models
• Bayesian econometrics and forecasting. (With comments)
• Bayesian inference in models based on equilibrium search theory
• Estimation of a functional single index model with dependent errors and unknown error density
• Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density
• 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
• Bayesian analysis of nested logit model by Markov chain Monte Carlo.
• scientific article; zbMATH DE number 1943901 (Why is no real title available?)
• Testing for the usefulness of forecasts
• The marginal likelihood of dynamic mixture models
• Modified harmonic mean method for spatial autoregressive models
• Monetary policy and indeterminacy after the 2001 slump
• Imperfect information and the house price in a general-equilibrium model
• Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval
• Testing for integration using evolving trend and seasonals models: A Bayesian approach.
• New Bayesian approach to the estimation in simultaneous equations model
• Dynamics of fiscal financing in the United States
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• A naïve sticky information model of households' inflation expectations
• Estimation of nonlinear DSGE models through Laplace based solutions
• Liquidity trap and optimal monetary policy: evaluations for U. S. monetary policy from 2020 to 2023
• Multi-objective optimization using statistical models
• Keynesian economics without the Phillips curve
• On the stability of Calvo-style price-setting behavior
• Markov switching stochastic frontier model
• Introduction to Bayesian Econometrics
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• The effects of public spending externalities
• What (really) accounts for the fall in hours after a technology shock?
• Investment shocks and the comovement problem
• Strategic interactions in U.S. monetary and fiscal policies
• Integrated modified harmonic mean method for spatial panel data models
• Joint production in stochastic non-parametric envelopment of data with firm-specific directions
• 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
• Non-separability and sectoral comovement in a sticky price model
• Sunspot fluctuations under zero nominal interest rates
• Bayesian inference in the triangular cointegration model using a jeffreys prior
• A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density
• On the use of the concentration function to compare predictive distributions in ARMA models.

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