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In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10010610466
This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...
Persistent link: https://www.econbiz.de/10005779429
In this paper I consider social choices under uncertainty. I prove that any social choice rule that satisfies independence of irrelevant alternatives, translation invariance, and weak anonymity is consistent with ex post Bayesian utilitarianism.
Persistent link: https://www.econbiz.de/10005634197
The notion of disapprobation is defined. It is designed to capture some features of misspecification in a decision-theoretic framework. Moreover, it is a sample-based notion so it is well-suited for the study of misspecification in Bayesian contexts. Some elementary examples of disapprobation...
Persistent link: https://www.econbiz.de/10005669262