Search results for "Prior elicitation"

Bayesian applications in dynamic econometric models

2009

The purpose of this thesis is to provide a few new ideas to the field of Bayesian econometrics. In particular, the focus of the thesis is on analyzing dynamic econometric models. In the first essay, we provide an easily implementable method for the Bayesian analysis of a simple hybrid DSGE model of Clarida et al. (1999). The forecasting properties of the model are tested against commonly used forecasting tools, such as Bayesian VARs and naïve forecasts based on univariate random walks. In particular, the predictability of three key macroeconomic-variables, inflation, short-term nominal interest rate and a measure of output gap, are studied using quarterly ex post and real-time U.S. data.Our…