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We survey Bayesian methods for estimating dynamic stochastic general equilibrium (DSGE) models in this article. We focus on New Keynesian (NK)DSGE models because of the interest shown in this class of models by economists in academic and policy-making institutions. This interest stems from the...
Persistent link: https://www.econbiz.de/10011201633
causality and cointegration techniques to a Swedish time series data set on energy and economic growth spanning 150 years to …
Persistent link: https://www.econbiz.de/10011186004
Based on data collected from a representative national sample, India Human Development Survey 2005, this paper investigates the links between obesity among children and among adults with a number of socio economic characteristics as well as household and location specific variables. Both child...
Persistent link: https://www.econbiz.de/10008509717
This paper studies the implications of internal consumption habit for new Keynesian dynamic stochastic general equilibrium (NKDSGE) models. Bayesian Monte Carlo methods are employed to evaluate NKDSGE model fit. Simulation experiments show that consumption habit often improves the ability of...
Persistent link: https://www.econbiz.de/10010607725
This paper develops a new-Keynesian model with nominal depreciation allowances to consider the effects of temporary tax-based investment incentives on capital spending and real activity. In particular, we investigate the effects of a temporary expensing allowance on investment in partial and...
Persistent link: https://www.econbiz.de/10010607749
The goal of the present paper is to investigate not only the dynamics of the Greek public debt, but also the appropriate measures required for achieving fiscal consolidation. The empirical estimation is carried out using a macroeconomic dataset spanning the period 1980-2008 and both the 3SLS...
Persistent link: https://www.econbiz.de/10011185999
integrated, and that they pass Johansen’s the cointegration test. Finally we estimate an error correction model to discuss the …
Persistent link: https://www.econbiz.de/10011031850
Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...
Persistent link: https://www.econbiz.de/10011201585
We consider an adaptive importance sampling approach to estimating the marginal likelihood, a quantity that is fundamental in Bayesian model comparison and Bayesian model averaging. This approach is motivated by the difficulty of obtaining an accurate estimate through existing algorithms that...
Persistent link: https://www.econbiz.de/10011201593
The empirical support for a DSGE type of real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure that makes use of a finite mixture of many models within the class of vector autoregressive (VAR) processes. The linear VAR model is extended to...
Persistent link: https://www.econbiz.de/10011201625