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In this essay, I argue about the relevance and the ultimate unity of the Bayesian approach in a neutral and agnostic manner. My main theme is that Bayesian data analysis is an effective tool for handling complex models, as proven by the increasing proportion of Bayesian studies in the applied...
Persistent link: https://www.econbiz.de/10008683492
This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the...
Persistent link: https://www.econbiz.de/10011113752
This short note presents the R package AdMit which provides flexible functions to approximate a certain target distribution and to efficiently generate a sample of random draws from it, given only a kernel of the target density function. The estimation procedure is fully automatic and thus...
Persistent link: https://www.econbiz.de/10005244931
This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>
Persistent link: https://www.econbiz.de/10011272589
Abstract Davidson and MacKinnon’s J-test was developed to test non-nested model specification. In empirical applications, however, when the alternate specifications fit the data well the J test may fail to distinguish between the true and false models: the J test will either reject, or fail to...
Persistent link: https://www.econbiz.de/10005619534
In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...
Persistent link: https://www.econbiz.de/10005029703
generally used in the theory and practice of econometrics and included in the curriculum of master programs of the leading world …
Persistent link: https://www.econbiz.de/10009131092
Despite their popularities in recent years, factor models have long been criticized for the lack of identification. Even when a large number of variables are available, the factors can only be consistently estimated up to a rotation. In this paper, we try to identify the underlying factors by...
Persistent link: https://www.econbiz.de/10011111251
This paper considers the statistical inference of the class of asymmetric power-transformed GARCH(1,1) models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This allows us to establish the asymptotic...
Persistent link: https://www.econbiz.de/10011114151
This report presents an application of a macro stress testing procedure on credit risk in the Romanian banking system. Macro stress testing, i.e. assessing the vulnerability of financial systems to exceptional but plausible macroeconomic scenarios, maintains a central role in macro-prudential...
Persistent link: https://www.econbiz.de/10011114319