Search Results - subject_exact:"Bayesian inference"

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Estimating discrete choice demand models with sparse market-product shocks

Lu, Zhentong; Shimizu, Kenichi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015179425

Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility

Aumond, Romain; Royer, Julien - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014486414

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - 2024

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014581582

Incorporating micro data into macro models using pseudo VARs

Koop, Gary; McIntyre, Stuart; Mitchell, James; Wu, Ping - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618215

Learning from many experiments : a hierarchical bayesian framework for decomposing marketing treatment heterogeneity

Ebbes, Peter; Ascarza, Eva; Netzer, Oded - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618264

A teamwork science approach to trust dynamics in hybrid product development teams : modeling non-verbal interactions through bayesian networks

Aburai, Tsuyoshi - 2026

Motivation: In modern organizations where remote and hybrid work has become normalized, fostering trust without frequent face-to-face interaction is a critical management challenge. This study aims to explore how non-verbal digital dynamics associate with trust formation within hybrid product...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654708

A new model of trend inflation using disaggregates, survey expectations, and uncertainty

Tallman, Ellis W.; Zaman, Saeed - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619060

Text as priors

Ge, Shuyi; Li, Shaoran; Linton, Oliver; Su, Wen - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015655582

Direct Gaussian process predictive regressions with mixed frequency data

Hauzenberger, Niko; Marcellino, Massimiliano; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609527

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Direct gaussian process predictive regressions with mixed frequency data

Hauzenberger, Niko; Marcellino, Massimiliano; … - 2026

Book / Working Paper

A robust approach to tilting : parametric relative entropy

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610425

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A robust approach to tilting : parametric relative entropy

Montes-Galdón, Carlos; Paredes, Joan; Wolf, Elias - 2026

Book / Working Paper

Model averaging and grid maps for modeling heavy-tailed insurance data

Mothibe, Lira B.; Shongwe, Sandile C. - 2026

This work presents a practical approach to improve risk quantification for heavy-tailed insurance claims through model averaging and grid map visualization, addressing the drawbacks of traditional single "best" model selection commonly used in actuarial and model-fitting literature. This is a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611274

A Bayesian parametric model to estimate and reconstruct male age-specific fertility rates

Schlüter, Benjamin-Samuel; Schoumaker, Bruno; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611391

Bayesian causal inference for credit default risk

Pitso, Sello Dalton; Michael, Taryn - 2026

Banks often assume that higher credit limits increase customer default risk because greater exposure appears to imply greater vulnerability. This reasoning, however, conflates correlation with causation. Whether increasing a customer's credit limit truly raises the likelihood of default remains...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614384

Stochastic optimization and coupling

Yang, Frank; Yang, Kai Hao - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615690

Are there asymmetries in euro area monetary policy?

Pfarrhofer, Michael; Stelzer, Anna - 2026

We assess asymmetries, nonlinearities and state dependencies in dynamic responses of the euro area to monetary policy shocks. The dataset includes macroeconomic, financial, and survey-based variables measuring credit conditions and bank lending transmission channels. These data are observed at...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615809

Information design and mechanism design : an integrated framework

Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618926

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Information design and mechanism design : an integrated framework

Bergemann, Dirk; Heumann, Tibor; Morris, Stephen - 2026

Book / Working Paper

Measuring natural interest rate in Morocco

Lazzarou, Chaimae - 2026

This paper estimates Morocco's natural interest rate (NIR) using two approaches: a standard HLW-type framework and an augmented specification that incorporates external factors, namely imported inflation, and movements in the real effective exchange rate. The results point to a downward trend in...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592494

Output gap assessment through Danmarks Nationalbank's production function framework

Bess, Mikkel; Bock, Theodor Justus; Weissert, … - 2026

The output gap is a key guide for economic policymaking and analysis. It is often used to quantify inflationary pressures and thus plays a central role in Danmarks Nationalbank's assessment of the state of the Danish economy. This paper refines Danmarks Nationalbank's existing production...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588366

Inform and Persuade

Bißbort, Joshua; Heyen, Daniel; Shayegh, Soheil - 2026

Advice plays a central role in health, personal finance, and energy-efficiency decisions. We study how a benevolent expert should design verifiable advice - such as whether to commission a diagnostic test of different accuracy - when the agent is behaviorally biased, either neglecting...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015603810

The co-pricing factor zoo

Dickerson, Alexander; Julliard, Christian; Mueller, Philippe - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604105

Tourism demand forecasting in normal and crisis times : combining bootstrap-aggregating and bayesian approaches

Liu, Xinyang; Liu, Anyu; Chen, Jason Li; Li, Gang; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604461

Bayesian Inference in IV Regressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2026

It is well known that standard frequentist inference breaks down in IV regressions with weak instruments. Bayesian inference with diffuse priors suffers from the same problem. We show that the issue arises because flat priors on the first-stage coefficients overstate instrument strength. In...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015593722

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Bayesian inference in IV regressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2026

Book / Working Paper

Public persuasion with endogenous fact-checking

Lukyanov, Georgy; Safaryan, Samuel - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605619

A new method for measuring underlying ínflation in Türkiye

Çapan, Merve; Gülveren, Ahmet; Özsevinç, Tuba - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606724

Education-conditioned foreign direct investment and sustainable development : a complementarity perspective

Nguyen, Thanh Nha; Nguyen, Tran Xuan Linh - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015621547

Bayesian time-series analysis on retreating economic freedom : is there a democratic crisis of liberalism?

Herzog, Bodo - 2026

This study examines the dynamics of economic freedom in nine advanced democracies in comparison to China over the 1970-2022 period. Using data from the Fraser Institute and the Manifesto Project Database, we apply a Bayesian time-series methodology to identify three key patterns. First, economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626035

EstimateW : an R package for Bayesian estimation of weight matrices in spatial econometric panels

Krisztin, Tamás; Piribauer, Philipp - 2026

This document introduces the R library estimateW to estimate spatial weight matrices for Bayesian spatial econometric panel models. The approach focuses on spatial weights that are binary prior to row-standardization. However, unlike recent literature our approach requires no strong a priori...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628169

The role of firm heterogeneity for the transmission of aggregate shocks

Lenza, Michele; Pagano Giorgianni, Giuseppe; Rossi, Lorenza - 2026

We study whether firm-level heterogeneity helps explain U.S. macroeconomic fluctuations in response to aggregate shocks. Using quarterly Compustat and CRSP data from 1986 to 2025, we construct two revenue-based statistics inspired by the Melitz (2003) model: the average firm and the marginal...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638623

Mixed size-biased log-normal distribution with truncated normal prior and its application in insurance ratemaking

Bae, Taehan; Kim, Jieun; Ahn, Jae Youn - 2026

In the insurance literature, accurately predicting extreme losses has been a persistent and important problem. Recently, under the modelling framework of weighted distributions, several finite-mixture size-biased distributions, including size-biased Weibull and size-biased truncated log-normal...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639105

Crisis-regime dynamic volatility spillovers in U.S. commodity markets : a Bayesian mixture-identified SVAR approach

Deng, Xinyan; Aruga, Kentaka; Tang, Chaofeng - 2026

Conventional VAR-based volatility spillover measures rely on homoskedasticity and single-Gaussian assumptions, limiting their ability to capture structural breaks and heterogeneous shocks during crises. This study develops a flexible framework to analyze volatility transmission in U.S. commodity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639153

Determinants of nonperforming loans in Romania and Central, Eastern and Southeastern Europe

Costache, Cosmin Laurențiu - 2026

This paper investigates the macroeconomic and bank-specific determinants of nonperforming loans in Romania and selected Central and Eastern European countries. Using a combination of econometric approaches, the study employs fixed-effects panel regressions for 18 Romanian banks over the period...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639897

Bayesian Panel Variable Selection under model uncertainty for high-dimensional data

Pathairat Pastpipatkul; Htwe Ko - 2026

Selecting the relevant covariates in high-dimensional panel data remains a central challenge in applied econometrics. Conventional fixed effects and random effects models are not designed for systematic variable selection under model uncertainty. In addition, many existing models such as LASSO...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640470

A Bayesian learning approach for predictive resilience in engineer-to-order supply chains

Alaoua, Aicha; Karim, Mohammed - 2026

Accurate supplier lead time prediction is critical for maintaining resilience in Engineer-to-Order (EtO) supply chains, characterized by high customization and uncertainty. This study develops a simulation-based predictive framework combining log-normal sensitivity analysis, Internet of Things...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640886

Multi-fidelity approaches for general constrained Bayesian optimization with application to aircraft design

Cordelier, Oihan; Diouane, Youssef; Bartoli, Nathalie; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641858

Modeling the probability of default term structure using different methodologies under IFRS 9

Moremoholo, Kgotso Rudolf; Shongwe, Sandile Charles; … - 2026

To mitigate credit risk, banks are required to set aside a specific amount as a safety net to absorb the expected loss on a banks' loan portfolio called loan loss provisions (LLPs) or provisions for bad debts. All banks worldwide had to adopt International Financial Reporting Standard 9 (IFRS 9)...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643351

Bayesian Persuasion and cryptography

Azar, Pablo D. - 2026

Bayesian Persuasion assumes that a sender can commit ex ante to an information structure and then release the realized signal ex post. This paper asks when that commitment technology can itself be implemented. After observing the state, a sender who also observes the realized signal can suppress...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644236

Bayesian variable selection with the quasi-posterior

Hadj-Amar, Beniamino; Jewson, Jack - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650649

Crowding out or Ricardian behaviour? : evidence from South Africa

Sanusi, Kazeem Abimbola; Dickason Koekemoer, Zandri - 2026

This paper examines whether government debt financing crowds out private consumption in South Africa or whether household behaviour is consistent with Ricardian equivalence. Using quarterly data from 1960Q1 to 2025Q1, the study employs a Bayesian time-varying parameter framework that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652204

Hierarchical structure of the entrepreneurial career competency instrument : evidence from frequentist and Bayesian bifactor structural equation modelling

Schaap, Pieter; Botha, Melodi - 2026

Robust measurement of entrepreneurial competencies (ECs) is crucial for entrepreneurship education, yet their internal structure remains theoretically contested and empirically underexamined. This study examined whether the four-factor Entrepreneurial Career Competency Instrument (ECCI) exhibits...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015653597

Transfer learning in Bayesian optimization for aircraft design

Tfaily, Ali; Diouane, Youssef; Bartoli, Nathalie; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015632879

How Ricardian are we?

Adams, Jonathan; Matthes, Christian - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636937

Estimation of DSGE models by non-Gaussian vector autoregressions

Martinoli, Mario; Di Francesco, Damiano; Moneta, Alessio; … - 2026

We propose a new impulse response matching procedure for estimating the parameters of dynamic stochastic general equilibrium models from observed macroeconomic time series. The estimator is based on an indirect inference framework in which the auxiliary model is a structural vector...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667205

Energy and monetary policy in the euro area

Albonico, Alice; Ascari, Guido; Haque, Qazi; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015668642

Optimal inflation rate : a meta-analysis

Opatrny, Matej; Opatrny, Martin; Havránek, Tomáš; … - 2026

We revisit the optimal long-run inflation rate using 777 estimates from 116 primary studies published between 1989 and 2026, the largest sample on the topic to date. To our knowledge, this is among the first economics meta-analyses in which primary-data extraction is done from start to finish...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667786

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Optimal inflation rate : a meta-analysis

Opatrny, Matej; Opatrny, Martin; Havránek, Tomáš; … - 2026

Book / Working Paper

Bayesian sensitivity of insurance premium in collective risk model under bivariate prior with dependent frequency and severity of claims

Boratyńska, Agata - 2026

This study deals with the problem of robustness of the collective and Bayes premiums under uncertainty of prior knowledge. The inaccuracy of the prior knowledge concerns the disturbance of independence between variables describing the frequency and average value of claims. Traditionally, these...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015667526