In this paper a potential solution is given to the conflict in Bayesian inference between the desire to employ diffuse priors to represent ignorance and the desire to report proper posterior probabilities for alternative models. Using the concept of Stiefel manifolds, diffuse priors are...

Likelihoods and posteriors of econometric models with strong endogeneity and weak instruments may exhibit rather non-elliptical contours in the parameter space. This feature also holds for cointegration models when near non-stationarity occurs and determining the number of cointegrating...

Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that encompasses a range of dynamics in the stochastic cycle. This allows for...

Economic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on structural...

The purpose of this paper is to survey and critically assess the Bayesian cointegration literature. In one sense, Bayesian analysis of cointegration is straightforward. The researcher can combine the likelihood function with a prior and do Bayesian inference with the resulting posterior....

In this paper we reconsider the analysis of the effect of education on income by Angrist and Krueger (1991). In order to account for possible endogeneity of the education spell, these authors use quarter of birth to form valid instruments. Angristand Krueger apply a classical method, two-stage...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

The failure to describe the time series behaviour of most real exchange rates as temporary deviations from fixed long-term means may be due to time variation of the equilibria themselves, see Engel (2000). We implement this idea using an unobserved components model and decompose the observations...

A flexible decomposition of a time series into stochastic cycles under possible non-stationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach which...

In this paper we discuss the similarity between the Anderson-Rubin test for overidentification in a Simultaneous Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two models is shown to be important in this respect. An...