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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10008838626
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Complete and incomplete econometric models
Geweke, John - 2010
Complete and Incomplete Econometric Models John Geweke Princeton University Press Princeton and Oxford Contents Series Editors' Introduction vii Preface ...
Persistent link: https://www.econbiz.de/10013503197
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On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling
Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Institute - 2006
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10005504906
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Possibly Ill-behaved Posteriors in Econometric Models
Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008
Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...
Persistent link: https://www.econbiz.de/10005504938
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Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights
Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Institute - 2009
Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....
Persistent link: https://www.econbiz.de/10004964452
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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009
Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...
Persistent link: https://www.econbiz.de/10005016276
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Family Background Variables as Instruments for Education in Income Regressions: A Bayesian Analysis
Hoogerheide, Lennart; Block, Joern H.; Thurik, Roy - Tinbergen Institute - 2010
The validity of family background variables instrumenting education in income regressions has been much criticized. In this paper, we use data of the 2004 German Socio-Economic Panel and Bayesian analysis in order to analyze to what degree violations of the strong validity assumption affect the...
Persistent link: https://www.econbiz.de/10008484065
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 1999
indicate heavy tails. In this paper we construct models which enable a decision-maker to analyze the implications of such time … disturbance densities) are investigated in relation to the hedging decision strategies. Consequently, we can make a distinction … hedging decision the investor faces. <BR><BR> …
Persistent link: https://www.econbiz.de/10005137117
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....
Persistent link: https://www.econbiz.de/10005137171
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Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation
Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - Tinbergen Institute - 2008
This paper presents the R package AdMit which provides functions to approximate and sample from a certain target distribution given only a kernel of the target density function. The core algorithm consists in the function AdMit which fits an adaptive mixture of Student-t distributions to the...
Persistent link: https://www.econbiz.de/10005137315