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A Bayesian View of Nominal Money and Real Output through a New Classical Macroeconomic Window

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  • Poirier, Dale J
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    Abstract

    This study investigates the empirical evidence on the effects of unanticipated changes in nominal money on real output in 47 countries when viewed through a window (i.e., likelihood function) that assumes the neutrality of anticipated changes. Using a Bayesian predictivist approach, it provides a pedagogical Bayesian analysis of generated regressor models in the face of specification uncertainty involving, among other things, multiple unit root and trend stationary alternatives.

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 9 (1991)
    Issue (Month): 2 (April)
    Pages: 125-48

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    Handle: RePEc:bes:jnlbes:v:9:y:1991:i:2:p:125-48

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    Cited by:
    1. Apergis, Nicholas & Miller, Stephen, 2004. "Macroeconomic rationality and Lucas' misperceptions model: further evidence from 41 countries," Journal of Economics and Business, Elsevier, vol. 56(3), pages 227-241.
    2. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
    3. Dorfman, Jeffrey H., 1995. "A numerical bayesian test for cointegration of AR processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 289-324.
    4. Nicholas Aspergis & Stephen M. Miller, 2003. "Macroeconomic Rationality and Lucas' Misperceptions Model: Further Evidence from Forty-One Countries," Working papers 2003-26, University of Connecticut, Department of Economics.
    5. Dorfman, Jeffrey H. & McIntosh, Christopher S., 2001. "Imposing inequality restrictions: efficiency gains from economic theory," Economics Letters, Elsevier, vol. 71(2), pages 205-209, May.
    6. John D. Stiver, 2003. "Endogenous Financing and the Long Run Impact of Money Growth on Output and Prices," Working papers 2003-36, University of Connecticut, Department of Economics.

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