This paper contributes to the on-going empirical debate regarding the role of the RBC model and in particular of technology shocks in explaining aggregate fluctuations. To this end we estimate the model's posterior density using Markov-Chain Monte-Carlo (MCMC) methods. Within this framework we...

A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...

We take a Bayesian approach to model selection in regression models with structural breaks in conditional mean and residual variance parameters. A novel feature of our approach is that it does not assume knowledge of the parameter subset that undergoes structural breaks, but instead conducts...

Bayesian model averaging attempts to combine parameter estimation and model uncertainty in one coherent framework. The choice of prior is then critical. Within an explicit framework of ignorance we define a ‘suitable' prior as one which leads to a continuous and suitable analog to the pretest...

Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between the qualities of the forecasts of the whole density, whereas the Bayesian approach...

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...

Using a two-sector endogenous growth model, this paper explores how productivity shocks in the goods and human capital producing sectors contribute to explaining aggregate cycles in output, consumption, investment and hours. To contextualize our findings, we also assess whether the human capital...

It is well known that volatility asymmetry exists in financial markets. This paper reviews and investigates recently developed techniques for Bayesian estimation and model selection applied to a large group of modern asymmetric heteroskedastic models. These include the GJR-GARCH, threshold...