Contemporary Bayesian Econometrics and Statistics

Geweke, John

doi:10.1002/0471744735

Cited by 425 publications

(376 citation statements)

References 28 publications

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“…The prior predictive distribution summarizes the substance of the model and emphasizes that the prior distribution and the conditional distribution of observables are inseparable components, a point forcefully argued by Box (1980). As explained by Canova (1995), Lancaster (2004) and Geweke (2005), prior predictive analysis is a powerful tool to shed light on complicated objects that depend on both the joint prior distribution of parameters and the model specification. In our context, this analysis delivers the possible range of the government spending multiplier conditional on a specific model.…”

Section: Prior Predictive Analysismentioning

confidence: 99%

In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area

Fève

Sahuc

2016

J of Applied Econometrics

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This paper applies the DSGE-VAR methodology to assess the size of fiscal multipliers in the data and the relative contributions of two transmission mechanisms of government spending shocks, namely hand-to-mouth consumers and Edgeworth complementarity. Econometric experiments show that a DSGE model with Edgeworth complementarity is a better representation of the transmission mechanism of fiscal policy as it yields dynamic responses close to those obtained with the flexible DSGE-VAR model (i.e. an impact output multiplier larger than one and a crowding-in of private consumption). The estimated share of hand-to-mouth consumers is too small to replicate the positive response of private consumption.

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Section: Prior Predictive Analysismentioning

confidence: 99%

In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area

Fève

Sahuc

2016

J of Applied Econometrics

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“…It would be possible, but computationally intensive, to apply particle filtering to find the ML estimator. Thus, we pursue a Bayesian approach using Markov chain Monte Carlo (MCMC) method (see, e.g., Chib (2001), Koop (2003), Geweke (2005), and Gamerman and Lopes (2006)) for efficient estimation of the time-dependent GEV model.…”

Section: Introductionmentioning

confidence: 99%

Generalized extreme value distribution with time-dependence using the AR and MA models in state space form

Nakajima

Kunihama

Omori

et al. 2012

Computational Statistics & Data Analysis

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“…. , y t | θ k , Y s−1 , M k ) is the conditional density given Y s−1 , see Geweke (2005). The predictive likelihood contains the out-of-sample prediction record of a model.…”

Section: Resultsmentioning

confidence: 99%