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models. This can happen even if the model admits a triangular identification and if the forecasts produced by the …
Persistent link: https://www.econbiz.de/10001600038
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10002595455
We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on...
Persistent link: https://www.econbiz.de/10001746452
Few propositions in macroeconomics are less controversial than long-run money neutrality, yet clear and robust empirical support has not been found in time series studies. Bernanke and Mihov (1998) are comparatively successful in this hunt, but their output response to monetary policy shocks...
Persistent link: https://www.econbiz.de/10001600067
In this paper we derive a parameter constancy test of a stationary vector autoregressive model against the hypothesis that the parameters of the model change smoothly over time. A single structural break is contained in this alternative hypothesis as a special case. The test is a generalization...
Persistent link: https://www.econbiz.de/10001693105
Persistent link: https://www.econbiz.de/10001613659
relationship between innovation and productivity in Finland, Norway and Sweden at the firm level. Although these countries enjoy a …, model specifications, estimation methods or unobservable country-specific effects. The tentative conclusion is that the …
Persistent link: https://www.econbiz.de/10001600085
Persistent link: https://www.econbiz.de/10000928588
Persistent link: https://www.econbiz.de/10000892676
The labor-supply elasticity is a central element in many macroeconomic models. We argue that assumptions underlying previous econometric estimates of the intertemporal labor supply elasticity are inconsistent with incomplete markets economies. In particular, if the econometrician ignores...
Persistent link: https://www.econbiz.de/10001626699