The DOI matches its Crossref record; 54 of the 54 references it cites were found in a registry or an index.
Using simulation methods for bayesian econometric models: inference, development,and communication
Open accessAbstract
This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods.The emphasis is on the combination of models and the development of predictive distributions.Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models.The paper then shows how posterior simulators can facilitate communication between investigators (for example, econometricians) on the one hand and remote clients (for example, decision makers) on the other, enabling clients to vary the prior distributions and functions of interest employed by investigators.A theme of the paper is the practicality of subjective Bayesian methods.To this end, the paper describes publicly available software for Bayesian inference, model development, and communication and provides illustrations using two simple econometric models.
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Cites
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Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
Smets, F., & Wouters, R. (2007) · American Economic Review · doi:10.1257/aer.97.3.586 · Cited by 4,611
Testing for Indeterminacy: An Application to U.S. Monetary Policy
Lubik, T. A., & Schorfheide, F. (2004) · American Economic Review · doi:10.1257/000282804322970760 · Cited by 868
Bayesian estimation of an open economy DSGE model with incomplete pass-through
Adolfson, M., Laséen, S., Lindé, J., & Villani, M. (2007) · Journal of International Economics · doi:10.1016/j.jinteco.2007.01.003 · Cited by 849
MCMCpack: Markov Chain Monte Carlo in R
Martin, A. D., Quinn, K. M., & Park, J. H. (2011) · Journal of Statistical Software · doi:10.18637/jss.v042.i09 · Cited by 608
Comparing New Keynesian models of the business cycle: A Bayesian approach
Rabanal, P., & Rubio-Ramírez, J. F. (2005) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2005.08.008 · Cited by 391
Metadata
- Authors
- Geweke, J.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 1999-01
- Volume
- 18
- Issue
- 1
- Pages
- 1-73
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1967239989
- Cited by
- 958
- References
- 54
- FWCI
- 22.84
- Type
- journal article
- Language
- en
- Open access
- gold
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
