Contemporary Bayesian Econometrics and Statistics

By John Geweke. 2005

599 citations recorded by the source corpus.

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Citations in the corpus

Real-Time Inflation Forecasting in a Changing World (2009, unknown): “It is also well known that marginal likelihoods and one-step ahead predictive likelihoods are related (see, e.g., Geweke 2005, p. 67), and hence, Bayesian model selection also takes into account the forecasting performance of a model.”
Back to Square One: Identification Issues in DSGE Models (2009, methodology): “This analysis should be routinely performed prior to estimation in a neighborhood of reasonably calibrated parameter values, much in the same spirit of Bayesian prior predictive analysis ( Geweke, 2005, p. 262 ), and lots of information could be gathered this way.”
Rare shocks, great recessions (2013, unknown): “…q, t. (5) For the prior on the parameters λq we assume a gamma distributions with parameters λ/ν and ν: p(λq|λ, ν) = (λ/ν)−ν Γ(ν) λ ν−1q exp(−ν λq λ ), i.i.d. across q. (6) where λ is the mean and ν is the number of degrees of freedom (Geweke (2005) assumes a Gamma with one degree of freedom).”
Discrete Choice Modeling (2007, background): “[See Geweke, et al. (1994).] This form of the model also generalizes the random effects probit model examined earlier.”
Modeling Realized Covariances and Returns (2013, methodology): “From a Bayesian perspective the predictive likelihoods are a key input into model comparison through predictive Bayes factors (Geweke (2005)).18 Following Maheu and McCurdy (2011) we evaluate a term structure of a model’s density forecasts of returns.”
Learning, Structural Instability, and Present Value Calculations (2007, background): “Deriving (16) from the first order inter-temporal optimization conditions also requires that the transversality condition”
Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications (2011, background): “, Harvey (1993), Durbin and Koopman (2002b) for econometric issues).”
Monetary Policy Regime Shifts and Inflation Persistence (2009, methodology): “Distributing probability mass across the different conditional expectations for inflation, as in (33)− (34), is the same approach as in Gordon and St-Amour (2000) and Bansal and Zhou (2002).”
Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model (2008, unknown): “…second order 17 moments, which play a more determinant role for the second order approximation, we have resorted to prior predictive analysis (see Geweke, 2005, section 8.3.1): we draw parameter values from the joint prior, we solve the model and we compute the moments of the stationary…”
A Bayesian Reliability Approach to Multiple Response Optimization with Seemingly Unrelated Regression Models (2009, methodology): “See Geweke [14] for use of (conditionally conjugate) informative priors for and .”