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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008
the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great …
Persistent link: https://www.econbiz.de/10011255775
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>
Persistent link: https://www.econbiz.de/10011255853
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Bayesian Model Selection with an Uninformative Prior
Strachan, Rodney; Dijk, Herman K. van - Centre for Economic Research, School of Economics and … - 2004
to the Bayes factors being ill-defined. Using careful consideration of the parameter of interest in cointegration … Bayesian comparison of models of cointegration with ‘ignorance’ priors. Using the concept of Stiefel and Grassman manifolds …
Persistent link: https://www.econbiz.de/10005767564
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The Value of Structural Information in the VAR Model
Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10005063701
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2008
the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great …
Persistent link: https://www.econbiz.de/10005450792
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The Value of Structural Information in the VAR Model
Strachan, Rodney; Dijk, Herman K. van - Centre for Economic Research, School of Economics and … - 2004
features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …
Persistent link: https://www.econbiz.de/10005416697
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Institute - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class of
Persistent link: https://www.econbiz.de/10008838546
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010
) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …
Persistent link: https://www.econbiz.de/10011256713