Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Abstract
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model averaging procedure. This procedure makes use of a finite mixture of many models within the class ofDownload Info
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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 10-050/4.Length:
Date of creation: 17 May 2010
Date of revision:
Handle: RePEc:dgr:uvatin:20100050
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Web page: http://www.tinbergen.nl
Related research
Keywords: Posterior probability; Real business cycle model; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model;Other versions of this item:
- Rodney W. Strachan & Herman K. van Dijk, 2010. "Evidence on a Real Business Cycle model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging," ANU Working Papers in Economics and Econometrics 2010-522, Australian National University, College of Business and Economics, School of Economics.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-26 (All new papers)
- NEP-BEC-2011-02-26 (Business Economics)
- NEP-DGE-2011-02-26 (Dynamic General Equilibrium)
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