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Identifying relevant and irrelevant variables in sparse factor models (replic...
This paper considers factor estimation from heterogeneous data, where some of the variables-the relevant ones-are informative for estimating the factors, and others-the... -
Have Standard VARS Remained Stable Since the Crisis? (replication data)
Small vector autoregressions are commonly used in macroeconomics for forecasting and evaluating shock transmission. This requires VAR parameters to be stable over the evaluation... -
Empirical Bayesball Remixed: Empirical Bayes Methods for Longitudinal Data (r...
Empirical Bayes methods for Gaussian and binomial compound decision problems involving longitudinal data are considered. A recent convex optimization reformulation of the... -
Differences Between Classical and Bayesian Estimates for Mixed Logit Models: ...
The mixed logit model is widely used in applied econometrics. Researchers typically rely on the free choice between the classical and Bayesian estimation approach. However,... -
Optimal Portfolio Choice Under Decision‐Based Model Combinations (replication...
We propose a density combination approach featuring combination weights that depend on the past forecast performance of the individual models entering the combination through a... -
A Cost System Approach to the Stochastic Directional Technology Distance Func...
This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF)-based formulation of banking technology which... -
Noncausal Bayesian Vector Autoregression (replication data)
We consider Bayesian analysis of the noncausal vector autoregressive model that is capable of capturing nonlinearities and effects of missing variables. Specifically, we devise... -
Outlier-Robust Bayesian Multinomial Choice Modeling (replication data)
A Bayesian method for outlier-robust estimation of multinomial choice models is presented. The method can be used for both correlated as well as uncorrelated choice alternatives... -
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
Modelling Inflation Volatility (replication data)
This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk... -
The Zero Lower Bound and Parameter Bias in an Estimated DSGE Model (replicati...
This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound (ZLB)... -
A Bounded Model of Time Variation in Trend Inflation, Nairu and the Phillips ...
In this paper, we develop a bivariate unobserved components model for inflation and unemployment. The unobserved components are trend inflation and the non-accelerating... -
A Social Interactions Model with Endogenous Friendship Formation and Selectiv...
This paper analyzes the endogeneity bias problem caused by associations of members within a network when the spatial autoregressive (SAR) model is used to study social... -
Bayesian Graphical Models for STructural Vector Autoregressive Processes (rep...
This paper proposes a Bayesian, graph-based approach to identification in vector autoregressive (VAR) models. In our Bayesian graphical VAR (BGVAR) model, the contemporaneous... -
Growth Determinants Revisited Using Limited-Information Bayesian Model Averag...
We revisit the growth empirics debate using a novel limited-information Bayesian model averaging framework in short T panels that addresses model uncertainty, dynamics, and... -
Estimating Incentive and Selection Effects in the Medigap Insurance Market: A...
This paper presents an empirical study of endogenous treatment effects in the presence of heterogeneous responses. We estimate the incentive and selection effects of having... -
Priors and Posterior Computation in Linear Endogenous Variable Models with Im...
In this paper we, like several studies in the recent literature, employ a Bayesian approach to estimation and inference in models with endogeneity concerns by imposing weaker... -
A Bayesian Semiparametric Competing Risk Model with Unobserved Heterogeneity ...
This paper generalizes existing econometric models for censored competing risks by introducing a new flexible specification based on a piecewise linear baseline hazard,... -
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...
