This paper outlines an approach to Bayesian semiparametric regression in multiple equation models which can be used to carry out inference in seemingly unrelated regressions or simultaneous equations models with nonparametric components. The approach treats the points on each nonparametric...

This paper discusses the consumption-wealth relationship. Following the recent influential work of Lettau and Ludvigson [e.g. Lettau and Ludvigson (2001), (2004)], we use data on consumption, assets and labor income and a vector error correction framework. Key findings of their work are that...

This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross-sectional unit having a vector error correction representation. It is flexible in the sense that different cross-sectional units can have different cointegration ranks and...

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Theoretical justifications for averaging across models, as opposed to selecting a single model, are given. Practical methods for implementing Bayesian model averaging with factor models...

This paper motivates and develops a nonlinear extension of the Vector Autoregressive model which we call the Vector Floor and Ceiling model. Bayesian and classical methods for estimation and testing are developed and compared in the context of an application involving U.S. macroeconomic data. In...

A message coming out of the recent Bayesian literature on cointegration is that it is important to elicit a prior on the space spanned by the cointegrating vectors (as opposed to a particular identified choice for these vectors). In this note, we discuss a sensible way of eliciting such a prior....

This paper discusses Bayesian inference in change-point models. Existing approaches involve placing a (possibly hierarchical) prior over a known number of change-points. We show how two popular priors have some potentially undesirable properties (e.g. allocating excessive prior weight to...

In this paper we introduce and implement new techniques to investigate threshold effects in air pollution-mortality relationships. Our key interest is in measuring the dose-response relationship above and below a given threshold level where we allow for a large number of potential explanatory...

We describe procedures for Bayesian estimation and testing in both cross sectional and longitudinal data smooth coefficient models (with and without endogeneity problems). The smooth coefficient model is a generalization of the partially linear or additive model wherein coefficients on linear...