This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In … are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions …

This paper describes the inference procedures required to perform Bayesian inference to some multivariate econometric …

This paper analyzes the forecasting performance of an open economy DSGE model, estimated with Bayesian methods, for the … likelihood and two different Bayesian approaches, and traditional benchmark models, e.g. the random walk. The accuracy of point … present. We also critically examine the role of Bayesian model probabilities and other frequently used low …

There has been a call for caution when using the conventional method for Bayesian inference in setidentified structural …