Bayesian Inference in Dynamic Econometric Models

By Luc Bauwens, M. Lubrano, Jean-François Richard. 2000

535 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/463050c632a8ff0e2fd53189fe0b260b8c18edc0

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In Economics and Econometrics

Citations in the corpus

Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area (2010, background): “Goldfeld and Sichel (1990) suggest that the rejection of the unity of the price level coe¢ cient can be interpreted as an indicator for misspecication. On the contrary, Evans and Wang (2008) show that the price elasticity of money demand should be less than unity under commodity standards, whenever”
Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space (2009, background): “, Bauwens et al., 1999, Appendix A), P1/ = HH ′ + −1H⊥H ′ ⊥, G is a n ×n matrix,4 and is a scalar which controls the degree of shrinkage. The matrix G could be chosen to be equal to , as in Strachan and Inder (2004) and Villani (2005). However, any choice of G is possible should the researcher desir”
A Component GARCH Model with Time Varying Weights (2009, methodology): “A related model is analyzed by Bauwens et al. (2007) although the specification considered in their paper differs from ours since we allow each volatility component to depend on its own past values (hk,t) and not on lagged values of ht.”
DSGE Models in a Data-Rich Environment (2006, unknown): “This model results in an equilibrium characterized by (3)—(5).”
Bayesian Model Averaging in the Instrumental Variable Regression Model (2012, unknown): “Using the decomposition of Ω in (2), let us define: There is a one-to-one mapping from Ω to (  ω 21 , Ω 22 , ω 11 · 2 ) (e.g. Bauwens et al., 1999, p. 305) and so we can fix the following prior specification on (  ω 21 , Ω 22 , ω 11 · 2 ) : ) where IW m ( S 22 , v 22 ) represents the inverted…”
The External Finance Premium and the Macroeconomy: Us Post-Wwii Evidence (2008, unknown): “In particular, Table 4 compares the performance of the DSGE model with nancial frictions to the DSGE model without nancial frictions, as well as with a reduced form VAR(1).”
Assessing the Economy-Wide Effects of Quantitative Easing (2012, unknown): “These measures included the provision of enhanced liquidity support, measures to enhance market functioning and QE or large-scale asset purchases (see Bean (2011)).”
Measuring Inflation Persistence: A Structural Time Series Approach (2005, unknown): “Note that equation (5) is broadly consistent with the idea advocated by, among others, Young, Lane, Ng and Palmer (1991) that in order to introduce enough smoothness in estimates of unobserved trend components, they are best modelled as an integrated random walk process.”
A system approach for measuring the euro area NAIRU (2004, methodology): “In order to simplify the exercise, it was decided to avoid using complex Bayesian sampling techniques, see Bauwens et al. (2000) for a thorough survey of them, nor boostrap bias-correction was attempted, see Berkowitz et al. (2000).”