In this paper we apply a sensitivity analysis regarding two types of prior information considered within the Bayesian estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on the estimation outcome. First, we investigate the...

Due to their indeterminacies, static and dynamic factor models require identifying assumptions to guarantee uniqueness of the parameter estimates. The indeterminacy of the parameter estimates with respect to orthogonal transformations is known as the rotation problem. The typical strategy in...

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...

This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution for the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, and show that...

Due to their well-known indeterminacies, factor models require identifying assumptions to guarantee unique parameter estimates. For Bayesian estimation, these identifying assumptions are usually implemented by imposing constraints on certain model parameters. This strategy, however, may result...

We model network formation and interactions under a unified framework by considering that individuals anticipate the effect of network structure on the utility of network interactions when choosing links. There are two advantages of this modeling approach: first, we can evaluate whether network...

Consideration of latent heterogeneity is of special importance in non linear models for gauging correctly the effect of explaining variables on the dependent variable. This paper adopts the stratified model-based clustering approach for modeling latent heterogeneity for panel probit models....

While demand models require a sound understanding of economic processes and should be flexible enough to capture nonlinearities, endogeneity can greatly hinder the identification of (nonlinear) causal relationships. To tackle these issues, we extend the instrument-free Gaussian copula approach...