A multivariate model, identifying monetary policy and allowing for simultaneity and regime switching in coefficients and variances, is confronted with US data since 1959. The best fit is with a version that allows time variation in structural disturbance variances only. Among versions that allow...

A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close.

Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian...