We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our...

In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable...

Previous studies have shown that the stationary and nonstationary time-varying volatilities have different implications on the unit root test. In this paper, we provide a Bayesian unit root test for an AR(1) model with stochastic volatility and leverage effect. Monte Carlo simulations show that...

This study investigates the usefulness of the business tendency surveys collected at the KOF institute for short-term forecasting of employment in Switzerland aggregated in the KOF Employment Indicator. We use the real time dataset in order to simulate the actual predictive process using only...

In this paper, I review the literature on the formulation and estimation of dynamic stochastic general equilibrium (DSGE) models with a special emphasis on Bayesian methods. First, I discuss the evolution of DSGE models over the last couple of decades. Second, I explain why the profession has...

Recent contributions to the growth literature have argued that the structure of an economy, as measured by its productive capabilities, is a key determinant for inter-country differences in development. Productive capabilities have been shown to be highly predictive of future economic growth,...

We develop a new method to sample from posterior distributions in hierarchical models without using Markov chain Monte Carlo. This method, which is a variant of importance sampling ideas, is generally applicable to high-dimensional models involving large data sets. Samples are independent, so...

Central banks have long used dynamic stochastic general equilibrium (DSGE) models, which are typically estimated using Bayesian techniques, to inform key policy decisions. This paper offers an empirical strategy that quantifies the information content of the data relative to that of the prior...