Search Results - subject:"posterior probability"

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2008

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

Persistent link: https://www.econbiz.de/10005450792

Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk

Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008

Persistent link: https://www.econbiz.de/10011255775

Bayesian averaging over many dynamic model structures with evidence on the Great Ratios and liquidity trap risk

Strachan, Rodney W.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10011377110

Changing statistical significance with the amount of information: The adaptive α significance level

Pérez, María-Eglée; Pericchi, Luis Raúl - In: Statistics & Probability Letters 85 (2014) C, pp. 20-24

We put forward an adaptive alpha which changes with the amount of sample information. This calibration may be interpreted as a Bayes–non-Bayes compromise, and leads to statistical consistency. The calibration can also be used to produce confidence intervals whose size takes in consideration...

Persistent link: https://www.econbiz.de/10011039916

Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, R.W.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2007

posterior probability of 78%, has six lags of di�erences, one stochastic trend (r = 2), the great ratios do not form the … posterior probability. 19 dentifyingrestrictions, the weight of support is uponthere beingone common stochastic trend in yt (p … second feature, that ct inct and it inct are cointegrating relations, however, has a posterior probability of only 9 …

Persistent link: https://www.econbiz.de/10005450863

Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....

Persistent link: https://www.econbiz.de/10010731708

Model uncertainty and Bayesian model averaging in vector autoregressive processes

Strachan, R.W.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2006

method. Key Words:Posterior probability; Grassman manifold; Orthogonal group; Cointegration; Model averaging; Stochastic … likelihood for these models will be zero, such that the posterior probability will be zero by design. 10 and with d 2 [1 …;2;3;4;5] and l2 [5;6;7;8].14 Beginning with the support for the alternative models in the model set, the modal model with posterior …

Persistent link: https://www.econbiz.de/10005450886

Model uncertainty and Bayesian model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...

Persistent link: https://www.econbiz.de/10010731910

Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes

Strachan, Rodney; Dijk, Herman K. van - Department of Economics, Leicester University - 2006

Persistent link: https://www.econbiz.de/10005125078

Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model

Lin, Ming; Liu, Changjiang; Niu, Linlin - 2013

The Wishart autoregressive (WAR) process is a powerful tool to model multivariate stochastic volatility (MSV) with correlation risk and derive closed-form solutions in various asset pricing models. However, making inferences of the WAR stochastic volatility (WAR-SV) model is challenging because...

Persistent link: https://www.econbiz.de/10010892135