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Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean
Chan, Joshua C. C. - 2015
The modified harmonic mean is widely used for estimating the marginal likelihood. We investigate the empirical performance of two versions of this estimator: one based on the observed-data likelihood and the other on the complete-data likelihood. Through an empirical example using US and UK...
Persistent link: https://www.econbiz.de/10013026156
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Fast Computation of the Deviance Information Criterion for Latent Variable Models
Chan, Joshua C. C. - 2014
The deviance information criterion (DIC) has been widely used for Bayesian model comparison. However, recent studies have cautioned against the use of the DIC for comparing latent variable models. In particular, the DIC calculated using the conditional likelihood (obtained by conditioning on the...
Persistent link: https://www.econbiz.de/10013060399
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Marginal Likelihood Estimation with the Cross-Entropy Method
Chan, Joshua C. C.; Eisenstat, Eric - 2012
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/10014169831
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Evidence on a DSGE Business Cycle Model Subject to Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging
Strachan, Rodney W. - 2012
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/10013110953
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Asymmetric Conjugate Priors for Large Bayesian VARs
Chan, Joshua CC - 2019
Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the …, however, at the expense of modelling exibility, as it rules out cross-variable shrinkage – i.e. shrinking coefficients on lags … accommodate cross-variable shrinkage, while maintaining many useful analytical results, such as a closed-form expression of the …
Persistent link: https://www.econbiz.de/10012866101
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Monetary Policy, Inflation Target and the Great Moderation : An Empirical Investigation
Haque, Qazi - 2019
This paper estimates a New Keynesian model with trend inflation and contrasts Taylor rules featuring fixed versus time-varying inflation target while allowing for passive monetary policy. The estimation is conducted over the Great Inflation and the Great Moderation periods. Time-varying...
Persistent link: https://www.econbiz.de/10012867838
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Large Hybrid Time-Varying Parameter VARs
Chan, Joshua CC - 2019
Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in …
Persistent link: https://www.econbiz.de/10012861228
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Issues in Comparing Stochastic Volatility Models Using the Deviance Information Criterion
Chan, Joshua C. C. - 2014
The deviance information criterion (DIC) has been widely used for Bayesian model comparison. In particular, a popular metric for comparing stochastic volatility models is the DIC based on the conditional likelihood — obtained by conditioning on the latent variables. However, some recent...
Persistent link: https://www.econbiz.de/10013051070
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Stochastic Model Specification Search for Time-Varying Parameter VARs
Eisenstat, Eric - 2014
This article develops a new econometric methodology for performing stochastic model specification search (SMSS) in the vast model space of time-varying parameter VARs with stochastic volatility and correlated state transitions. This is motivated by the concern of over-fitting and the typically...
Persistent link: https://www.econbiz.de/10013057840
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Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility
Chan, Joshua C. C. - 2015
We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and deviance information criterion (DIC) for TVP-VARs with stochastic volatility. The proposed estimators are based on the integrated likelihood, which are...
Persistent link: https://www.econbiz.de/10013017876