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The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy

Meyer, Brent; Zaman, Saeed - 2016

In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated...

Persistent link: https://www.econbiz.de/10011561107

Persistence endogeneity via adjustment costs : an assessment based on Bayesian estimations

Sienknecht, Sebastian - 2010

This paper estimates a dynamic stochastic general equilibrium (DSGE) model for the European Monetary Union by using Bayesian techniques. A salient feature of the model is an extension of the typically postulated quadratic cost structure for the monopolistic choice of price variables. As shown in...

Persistent link: https://www.econbiz.de/10008669929

The estimation of threshold models in price transmission analysis

Greb, Friederike; Cramon-Taubadel, Stephan von; … - In: American journal of agricultural economics 95 (2013) 4, pp. 900-916

Persistent link: https://www.econbiz.de/10010203445

It’s not just for inflation : the usefulness of the median CPI in BVAR forecasting

Meyer, Brent; Zaman, Saeed - 2013

Persistent link: https://www.econbiz.de/10009721448

The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy

Meyer, Brent; Zaman, Saeed - In: Empirical economics : a journal of the Institute for … 57 (2019) 2, pp. 603-630

Persistent link: https://www.econbiz.de/10012056709

The Usefulness of the Median CPI in Bayesian Vars Used for Macroeconomic Forecasting and Policy

Meyer, Brent - 2017

Persistent link: https://www.econbiz.de/10012967377

A new model to forecast energy inflation in the euro area

Bańbura, Marta; Bobeica, Elena; Giammaria, Alessandro; … - 2025

Energy inflation is a major source of headline inflation volatility and forecast errors, therefore it is critical to model it accurately. This paper introduces a novel suite of Bayesian VAR models for euro area HICP energy inflation, which adopts a granular, bottom-up approach - disaggregating...

Persistent link: https://www.econbiz.de/10015416207

Bias Reduction for Bayesian and Frequentist Estimators

Bester, Alan; Hansen, Christian - 2006

We show that in parametric likelihood models the first order bias in the posterior mode and the posterior mean can be … removed using objective Bayesian priors. These bias-reducing priors are defined as the solution to a set of differential … differential equations asymptotically and removes the first order bias. When we consider the posterior mode, this approach can be …

Persistent link: https://www.econbiz.de/10014026617

Bayesian inference based only on simulated likelihood : particle filter analysis of dynamic economic models

Flury, Thomas; Shephard, Neil G. - In: Econometric theory 27 (2011) 5, pp. 933-956

Persistent link: https://www.econbiz.de/10009379765

Bayesian endogeneity bias modeling

Montes-Rojas, Gabriel; Galvao, Antonio Fialho <Jr.> - In: Economics letters 122 (2014) 1, pp. 36-39

Persistent link: https://www.econbiz.de/10010393981