This paper quantifies the effects on welfare of misspecified monetary policy objectives in a stylized DSGE model. We show that using inappropriate objectives generates relatively large welfare costs. When expressed in terms of ‘consumption equivalent’ units, these costs correspond to...

This paper studies the nonlinear adjustment between industrial production and carbon prices – coined as ‘the carbon-macroeconomy relationship’ – in the EU 27. We model carbon price returns and industrial production as nonlinear and state-dependent, with dynamics depending on the sign and...

The article discusses the views of statistics professors Andrew Gelman and Christian P. Robert about the intemperate anti-Bayesian statement appeared on the book of probability theory by mathematician William Feller. It notes that they explore Feller's words along with similar remarks by others...

The missionary zeal of many Bayesians of old has been matched, in the other direction, by an attitude among some theoreticians that Bayesian methods were absurd—not merely misguided but obviously wrong in principle. We consider several examples, beginning with Feller's classic text on...

We consider finite state space stationary hidden Markov models (HMMs) in the situation where the number of hidden states is unknown. We provide a frequentist asymptotic evaluation of Bayesian analysis methods. Our main result gives posterior concentration rates for the marginal densities, that...

We consider finite state space stationary hidden Markov models (HMMs) in the situation where the number of hidden states is unknown. We provide a frequentist asymptotic evaluation of Bayesian analysis methods. Our main result gives posterior concentration rates for the marginal densities, that...

The choice of the summary statistics in Bayesian inference and in particular in ABC algorithms is paramount to produce a valid outcome. We derive necessary and sufficient conditions on those statistics for the corresponding Bayes factor to be convergent, namely to asymptotically select the true...

The issue of using informative priors for estimation of mixtures at multiple time points is examined. Several different informative priors and an independent prior are compared using samples of actual and simulated aerosol particle size distribution (PSD) data. Measurements of aerosol PSDs refer...

Research on Bayesian nonparametric methods has received a growing interest for the past twenty years, especially since the development of powerful simulation algorithms which makes the implementation of complex Bayesian methods possible. From that point it is necessary to understand from a...

Empirical Bayes methods are often thought of as a bridge between classical and Bayesian inference. In fact, in the literature the term empirical Bayes is used in quite diverse contexts and with different motivations. In this article, we provide a brief overview of empirical Bayes methods...