Phenomena such as the Great Moderation have increased the attention of macroeconomists towards models where shock processes are not (log-)normal. This paper studies a class of discrete-time rational expectations models where the variance of exogenous innovations is subject to stochastic regime...

We estimate the approximate non-linear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...

This paper investigates which company characteristics affect the decision to introduce profit‐sharing. Unlike most studies, this paper relies on a ten‐year panel. The results presented in this paper are based on the estimation of a panel data fixed‐effect logit model. Given that they are...

Bayesian inference in a time series model provides exact out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

We consider the properties of weighted linear combinations of prediction models, or linear pools, evaluated using the log predictive scoring rule. Although exactly one model has limiting posterior probability, an optimal linear combination typically includes several models with positive weights....

The assumption that one of a set of prediction models is a literal description of reality formally underlies many formal econometric methods, including Bayesian model averaging and most approaches to model selection. Prediction pooling does not invoke this assumption and leads to predictions...

Using a dataset on the subsector and geographical segmentation of 208 Pharmaceutical companies, a Bayesian panel probit is used to analyze the role of state dependency, size and achieved diversification in affecting entry decision. We properly account for unobservable heterogeneity in a context...