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Using Simulation Methods for Bayesian Econometric Models

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Author Info
John Geweke () (University of Minnesota and FRB)

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Abstract

This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and their implementation using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. The paper 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.

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 1999 with number 832.

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Date of creation: 01 Mar 1999
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Handle: RePEc:sce:scecf9:832

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Postal: CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA
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  1. Philip Liu, 2006. "A Small New Keynesian Model of the New Zealand economy," Reserve Bank of New Zealand Discussion Paper Series DP2006/03, Reserve Bank of New Zealand. [Downloadable!]
  2. Riccardo Cristadoro & Andrea Gerali & Stefano Neri & Massimiliano Pisani, 2008. "Real exchange rate volatility and disconnect: an empirical investigation," Temi di discussione (Economic working papers) 660, Bank of Italy, Economic Research Department. [Downloadable!]
  3. Philip Liu, 2006. "Gains From Commitment Policy For A Small Open Economy: The Case Of New Zealand," CAMA Working Papers 2006-25, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
  4. Richard Dennis, 2008. "The Frequency Of Price Adjustment And New Keynesian Business Cycle Dynamics," CAMA Working Papers 2008-19, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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  5. Troy Matheson, 2006. "Assessing the fit of small open economy DSGEs," Reserve Bank of New Zealand Discussion Paper Series DP2006/11, Reserve Bank of New Zealand. [Downloadable!]
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This page was last updated on 2008-8-16.

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