The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...

Economic policy decisions are often informed by empirical economic analysis. While the decision-maker is usually only interested in good estimates of outcomes, the analyst is interested in estimating the model. Accurate inference on the structural features of a model, such as cointegration, can...

Bayesian model selection with posterior probabilities and no subjective prior information is generally not possible due to the Bayes factors being ill-defined. Using careful consideration of the parameter of interest in cointegration analysis and a respecifcation of the triangular model of...

Economic forecasts and policy decisions are often informed by empirical analysis based on econometric models. However, inference based upon a single model, when several viable models exist, limits its usefulness. Taking account of model uncertainty, a Bayesian model averaging procedure is...

This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>