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Does inattentiveness matter for DSGE modelling? : an empirical investigation

Chou, Jenyu; Easaw, Joshy Z.; Minford, Patrick - 2021

general equilibrium (DSGE) model in its usual form with full-information rational expectations and compare it with versions …

Persistent link: https://www.econbiz.de/10013177225

Frequentist inference in weakly identified dynamic stochastic general equilibrium models

Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - In: Quantitative economics : QE ; journal of the … 4 (2013) 2, pp. 197-229

A common problem in estimating dynamic stochastic general equilibrium models is that the structural parameters of economic interest are only weakly identified. As a result, classical confidence sets and Bayesian credible sets will not coincide even asymptotically, and the mean, mode, or median...

Persistent link: https://www.econbiz.de/10011757054

DSGE-based priors for BVARs & quasi-Bayesian DSGE estimation

Filippeli, Thomai; Harrison, Richard; Theodoridis, … - 2018

stochastic general equilibrium (DSGE) model. We use the DSGE model priors to determine the moments of an independent Normal …-Wishart prior for the VAR parameters. Two hyper-parameters control the tightness of the DSGE-implied priors on the autoregressive … maximize the marginal likelihood of the Bayesian VAR provides a method for isolating subsets of DSGE parameter priors that are …

Persistent link: https://www.econbiz.de/10011886093

DSGE priors for BVAR models

Filippeli, Thomai; Theodoridis, Konstantinos - 2014

methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …

Persistent link: https://www.econbiz.de/10010339762

Frequentist and Bayesian Change-Point Models : A Missing Link

Ardia, David - 2020

We show that the minimum description length (MDL) criterion widely used to estimate lin- ear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This allows for results from the frequentist and Bayesian literatures to...

Persistent link: https://www.econbiz.de/10012846328

Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds

Malhotra, Yogesh - 2023

In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the Bayesian methodology has significant advantages. Just...

Persistent link: https://www.econbiz.de/10014263882

Full-information estimation of heterogeneous agent models using macro and micro data

Liu, Laura; Plagborg-Møller, Mikkel - In: Quantitative Economics 14 (2023) 1, pp. 1-35

We develop a generally applicable full-information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross-sections of micro data. To handle unobserved aggregate state variables that affect cross-sectional distributions, we compute a numerically...

Persistent link: https://www.econbiz.de/10014536870

Full-information estimation of heterogeneous agent models using macro and micro data

Liu, Laura; Plagborg-Møller, Mikkel - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 1-35

We develop a generally applicable full‐information inference method for heterogeneous agent models, combining aggregate time series data and repeated cross‐sections of micro data. To handle unobserved aggregate state variables that affect cross‐sectional distributions, we compute a...

Persistent link: https://www.econbiz.de/10014306350

Confidence bands for impulse responses Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the …

Persistent link: https://www.econbiz.de/10010233995

Confidence bands for impulse responses : Bonferroni versus Wald

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

distribution in the Bayesian framework or the joint asymptotic distribution possibly constructed with bootstrap methods in the …

Persistent link: https://www.econbiz.de/10010230560