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Bayesian Inference in a Cointegrating Panel Data Model
Strachan, Rodney; Koop, Gary; Leon-Gonzalez, Roberto - Department of Economics, Leicester University - 2006
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross …
Persistent link: https://www.econbiz.de/10005385058
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Bayesian Model Averaging in the Instrumental Variable Regression Model*
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Economics Department, University of Strathclyde - 2011
develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very ?exible and can be easily adapted to analyze any of the di¤erent priors that have been proposed in the Bayesian …
Persistent link: https://www.econbiz.de/10009644005
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Bayesian Inference in the Time Varying Cointegration Model*
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Economics Department, University of Strathclyde - 2011
There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration...
Persistent link: https://www.econbiz.de/10009644008
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Time Varying Dimension Models
Chan, Joshua; Koop, Gary; Leon-Gonzalez, Roberto; … - Economics Department, University of Strathclyde - 2011
present methods for Bayesian inference. An application involving US in?ation forecasting illustrates and compares the …
Persistent link: https://www.econbiz.de/10009644011
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Bayesian Model Averaging in the Instrumental Variable Regression Model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Scottish Institute for Research in Economics (SIRE) - 2011
develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very exible and can be easily adapted to analyze any of the di¤erent priors that have been proposed in the Bayesian …
Persistent link: https://www.econbiz.de/10010552399
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Bayesian Inference in a Cointegrating Panel Data Model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Rimini Centre for Economic Analysis (RCEA) - 2007
This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross …
Persistent link: https://www.econbiz.de/10005091075
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Nonlinear Impacts of International Business Cycles on the UK — a Bayesian Smooth Transition VAR
Gefang, Deborah; Strachan, Rodney - Department of Economics, Leicester University - 2008
Employing a Bayesian approach, we investigate the impact of international business cycles on the UK economy in the …
Persistent link: https://www.econbiz.de/10005422700
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Bayesian model averaging in the instrumental variable regression model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - In: Journal of Econometrics 171 (2012) 2, pp. 237-250
develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian …
Persistent link: https://www.econbiz.de/10010588326
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Bayesian Model Averaging in the Instrumental Variable Regression Model
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney - Rimini Centre for Economic Analysis (RCEA) - 2011
develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian …
Persistent link: https://www.econbiz.de/10008799335
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Bayesian Model Averaging in the Instrumental Variable Regression Model
Koop, Gary; Gonzalez, Robert Leon; Strachan, Rodney - National Graduate Institute for Policy Studies (GRIPS) - 2011
develop a reversible jump Markov chain Monte Carlo algorithm that allows us to do Bayesian model averaging. The algorithm is … very flexible and can be easily adapted to analyze any of the different priors that have been proposed in the Bayesian …
Persistent link: https://www.econbiz.de/10008854579