This paper proposes a method for detecting the sources of misspecification in a dynamic stochastic general equilibrium (DSGE) model based on testing, in a data-rich environment, the exogeneity of the variables of the DSGE with respect to some auxiliary variables. Finding evidence of...

This discussion paper resulted in a publication in <A href="http://people.few.eur.nl/hkvandijk/PDF/Kleibergen_and_Van_Dijk_1998_ET_bayes_sim_equations.pdf">'Econometric Theory'</A>, 1998, 14(6), 701-743.<P> Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of Simultaneous Equation Models (SEMs). This results from the local nonidentification of certain parameters in...</p></a>

This paper presents the concept of Model Validation applied to a Dynamic Stochastic General equilibrium Model (DSGE). The main problem discussed is the approximation of the statistical representation for a DSGE model when not all endogenous variables are observable. MonteCarlo experiments in...

Many decision problems in various fields of application can be characterized as diagnostic problems trying to assess the true state (of the world) of given cases. The investigation of assessment criteria improves the initial information according to observed signal outcomes, which are related to...

In this paper we investigate the cyclicality of real wages. The approach we take is to search for the largest possible common cyclical component in a statistical sense. This contrasts with the existing literature which uses observable variables to proxy for a common cycle. We do so by using a...

We estimate a two-country open economy version of the New Keynesian DSGE model for the U.S. and the Euro area, using Bayesian techniques that allow for both determinacy and indeterminacy of the equilibrium. Our empirical analysis shows that the worldwide equilibrium is indeterminate due to a...

A recent literature has developed that combines two prominent empirical approaches to ex ante policy evaluation: randomized controlled trials (RCT) and structural estimation. The RCT provides a “gold-standard" estimate of a particular treatment, but only of that treatment. Structural...

We investigate the persistence of real exchange rates using Bayesian methods. First, an algorithm for Bayesian estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully captures joint parameter uncertainty and uncertainty about...

In this paper, we show how a complete and exact Bayesian analysis of a parametric mixture model is possible in some cases when components of the mixture are taken from exponential families and when conjugate priors are used. This restricted set-up allows us to show the relevance of the Bayesian...

This chapter provides a overview of Bayesian inference, mostly emphasising that it is a universal method for summarising uncertainty and making estimates and predictions using probability statements conditional on observed data and an assumed model (Gelman 2008). The Bayesian perspective is thus...