In this paper a procedure is developed to derive the predictive density function of a future observation for prediction in a multiple regression model under hierarchical priors for the vector parameter. The derived predictive density function is applied for prediction in a multiple regression...

In this article, we propose the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Normal innovations. We sample the parameters joint posterior distribution using the approach suggested by Nakatsuma (1998). As a first step, we fit the model to foreign exchange...

Abstract: The partial information rational expectations solution to a general linear multivariate expectational macro-model is found when agents are uncertain about the true values of the model’s parameters. Necessary and sufficient conditions for convergence to the full information rational...

In this paper I want to describe one way of thinking about information. In effect, this paper relates to the notion that organizational or societal models of economic equilibrium incorporate a decision-making mechanism that is influenced by the independent judgment of each individual. This...

Sampling variations complicate the classical inference on the analogue bounds under the monotone instrumental variables assumption, since point estimators are biased and confidence intervals are difficult to construct. From the Bayesian perspective, a solution is offered in this paper. Using a...

Markowitz portfolio selection is challenged by huge implementation barriers. This paper addresses the parameter uncertainty and deviation from normality in a Bayesian framework. The non-normal asset returns are modeled as finite Gaussian mixtures. Gibbs sampler is employed to obtain draws from...

This is a theoretic and econometric assessment of Peter Ferderer’s seminal paper published in the Journal of Post Keynesian Economics with the same title in 1993. New data shows that high forecaster discords coincide with a decrease in Investment expenditure. Specifically, the forecaster...

In this study, we investigate forecasting performance of various univariate and multivariate models in predicting inflation for different horizons. We design our forecast experiment for the post-oil boom years of 2010-2014 and compare forecasting ability of the different models with that of...

A debate on the regional disparity is always an interesting topic. This study analysed the regional income disparity in India during 1980 – 2010, which contains pre, early and later reform periods. The study used per capita GSDP data from Central Statistical Organisation. First, the study...

In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite location-scale mixtures and (ii) versions of approximate...