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Bayesian Inference in a Cointegrating Panel Data Model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Rimini Centre for Economic Analysis (RCEA) - 2007

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross …

Persistent link: https://www.econbiz.de/10005091075

Bayesian Inference in the Time Varying Cointegration Model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration...

Persistent link: https://www.econbiz.de/10005091123

Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy

Jochmann, Markus; Koop, Gary; Leon-Gonzalez, Roberto; … - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with...

Persistent link: https://www.econbiz.de/10008487518

Regime-Switching Cointegration

Jochmann, Markus; Koop, Gary - Rimini Centre for Economic Analysis (RCEA) - 2011

We develop methods for Bayesian inference in vector error correction models which are subject to a variety of switches … Bayesian model averaging r model selection methods can be used to deal with the high-dimensional model space that results. Our …

Persistent link: https://www.econbiz.de/10009320949

Forecasting with Medium and Large Bayesian VARs

Koop, Gary - Rimini Centre for Economic Analysis (RCEA) - 2010

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the … particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors … examine their forecast performance using a US macroeconomic data set containing 168 variables. We ?nd that Bayesian VARs do …

Persistent link: https://www.econbiz.de/10008738776

What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care

Jochmann, Markus - Rimini Centre for Economic Analysis (RCEA) - 2009

This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors. The proposed techniques are applied to a data set...

Persistent link: https://www.econbiz.de/10008469825

Dynamic probabilities of restrictions in state space models: An application to the Phillips curve

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008

Empirical macroeconomists are increasingly using models (e.g. regressions or Vector Autoregressions) where the parameters vary over time. State space methods are frequently used to specify the evolution of parameters in such models. In any application, there are typically restrictions on the...

Persistent link: https://www.econbiz.de/10005091067

On the Evolution of Monetary Policy

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008

This paper investigates the evolution of monetary policy in the U.S. using a standard set of macroeconomic variables. Many recent papers have addressed the issue of whether the monetary transmission mechanism has changed (e.g. due to the Fed taking a more aggressive stance against ination) or...

Persistent link: https://www.econbiz.de/10005091085

Bayesian Model Averaging in the Instrumental Variable Regression Model

Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Rimini Centre for Economic Analysis (RCEA) - 2011

develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian …

Persistent link: https://www.econbiz.de/10008799335

Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models

Burda, Martin; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012

Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov...

Persistent link: https://www.econbiz.de/10010555038