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This paper compares responses to monetary shocks in the EMU countries (in the pre-EMU sample) and in the New Member States (NMS) from Central Europe. The small-sample problem, especially acute for the NMS, is mitigated by using a Bayesian estimation procedure which combines information across...
Persistent link: https://www.econbiz.de/10013370041
The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).
Persistent link: https://www.econbiz.de/10015244642
The correct implementation of the Durbin and Koopman simulation smoother is explained. A possible misunderstanding is pointed out and clarified for both the basic state space model and for its extension that allows time-varying intercepts (mean adjustments).
Persistent link: https://www.econbiz.de/10011108875
A researcher is interested in a set of variables that he wants to model with a vector autoregression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in...
Persistent link: https://www.econbiz.de/10011084456
This paper compares responses to monetary shocks in the EMU countries (in the pre-EMU sample) and in the New Member States (NMS) from Central Europe. The small-sample problem, especially acute for the NMS, is mitigated by using a Bayesian estimation procedure which combines information across...
Persistent link: https://www.econbiz.de/10010727672
Online appendix to Barcelona GSE Working Paper No. 684
Persistent link: https://www.econbiz.de/10010851404
Persistent link: https://www.econbiz.de/10006298374
Persistent link: https://www.econbiz.de/10006298384
Many factors inhibiting and facilitating economic growth have been suggested. Can agnostics rely on international income data to tell them which matter? We find that agnostic priors lead to conclusions that are sensitive to differences across available income estimates. For example, the PWT 6.2...
Persistent link: https://www.econbiz.de/10008556279
Standard practice in Bayesian VARs is to formulate priors on the autoregres- sive parameters, but economists and policy makers actually have priors about the behavior of observable variables. We show how this kind of prior can be used in a VAR under strict probability theory principles. We state...
Persistent link: https://www.econbiz.de/10010836471