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Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information

Hamilton, James; Baumeister, Christiane - National Bureau of Economic Research (NBER) - 2014

characterization and numerical algorithm for Bayesian inference in structural vector autoregressions that can be used for models that … are overidentified, just-identified, or underidentified. (2) We analyze the asymptotic properties of Bayesian inference … special case of result (2), that the influence of these priors does not vanish asymptotically. (4) We illustrate how Bayesian …

Persistent link: https://www.econbiz.de/10011098934

Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach

Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014

Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data …

Persistent link: https://www.econbiz.de/10010821674

Assessing DSGE Model Nonlinearities

Aruoba, S. Boragan; Schorfheide, Frank; Bocola, Luigi - National Bureau of Economic Research (NBER) - 2013

We develop a new class of nonlinear time-series models to identify nonlinearities in the data and to evaluate nonlinear DSGE models. U.S. output growth and the federal funds rate display nonlinear conditional mean dynamics, while inflation and nominal wage growth feature conditional...

Persistent link: https://www.econbiz.de/10010969293

Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

Del Negro, Marco; Schorfheide, Frank - National Bureau of Economic Research (NBER) - 2008

provides a method for constructing prior distributions for a subset of these parameters from beliefs about the moments of the …

Persistent link: https://www.econbiz.de/10005088876

Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?

Wachter, Jessica A.; Warusawitharana, Missaka - National Bureau of Economic Research (NBER) - 2007

predictability should affect portfolio choice, even if the evidence is weak according to conventional measures. This paper models an …

Persistent link: https://www.econbiz.de/10005085380

Beliefs, Doubts and Learning: Valuing Economic Risk

Hansen, Lars Peter - National Bureau of Economic Research (NBER) - 2007

This paper explores two perspectives on the rational expectations hypothesis. One perspective is that of economic agents in such a model, who form inferences about the future using probabilities implied by the model. The other is that of an econometrician who makes inferences about the...

Persistent link: https://www.econbiz.de/10005775165

Global Business Cycles: Convergence or Decoupling?

Kose, Ayhan; Otrok, Christopher; Prasad, Eswar - National Bureau of Economic Research (NBER) - 2008

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

Persistent link: https://www.econbiz.de/10005777599

Bayesian and Frequentist Inference in Partially Identified Models

Schorfheide, Frank; Moon, Hyungsik Roger - National Bureau of Economic Research (NBER) - 2009

between frequentist confidence sets and Bayesian credible sets in partially identified models. A key difference is that …), whereas Bayesian credible sets can asymptotically be located in the interior of the identified set. Our asymptotic …

Persistent link: https://www.econbiz.de/10005710783

DSGE Model-Based Forecasting of Non-modelled Variables

Schorfheide, Frank; Sill, Keith; Kryshko, Maxym - National Bureau of Economic Research (NBER) - 2009

This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not …

Persistent link: https://www.econbiz.de/10005718736

Inflation-Gap Persistence in the U.S.

Cogley, Timothy; Primiceri, Giorgio; Sargent, Thomas - National Bureau of Economic Research (NBER) - 2008

We use Bayesian methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility … and drifting coefficients. One model is univariate, the other a multivariate autoregression. We define the inflation gap …

Persistent link: https://www.econbiz.de/10005720271