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IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL ...
The likelihood of the parameters in structural macroeconomic models typically has non-identification regions over which it is constant. When sufficiently diffuse priors are... -
MODELLING REGIME SWITCHING AND STRUCTURAL BREAKS WITH AN INFINITE HIDDEN MARK...
This paper proposes an infinite hidden Markov model to integrate the regime switching and structural break dynamics in a unified Bayesian framework. Two parallel hierarchical... -
STRATEGIC ASSET ALLOCATION FOR LONG-TERM INVESTORS: PARAMETER UNCERTAINTY AND...
We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative... -
MODEL PRIORS REVISITED: INTERACTION TERMS IN BMA GROWTH APPLICATIONS (replica...
This paper provides a sensitivity analysis on the prior choice for interaction terms for the results of Masanjala and Papageorgiou (Rough and lonely road to prosperity. Journal... -
FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERA...
This paper considers a panel data stochastic frontier model that disentangles unobserved firm effects (firm heterogeneity) from persistent (time-invariant/long-term) and... -
EXCHANGE RATE FUNDAMENTALS, FORECASTING, AND SPECULATION: BAYESIAN MODELS IN ...
Although speculative activity is central to black markets for currency, the out-of-sample performance of structural models in those settings is unknown. We substantially update... -
INFORMATION IN THE YIELD CURVE: A MACRO-FINANCE APPROACH (replication data)
We use a macro-finance model, incorporating macroeconomic and financial factors, to study the term premium in the US bond market. Estimating the model using Bayesian techniques,...
