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Bayesian Identification of Macroeconomic Model


  • Osvald Vašíček


Macroeconomic model builders try to construct models for the Czech transition economy. They face constrains of data scarcity in terms of short time series of data. Parameters are non-constancy and underspecificated. Since model builder assumptions of identification with respect to data, homogenity and parameter constancy he cannot builds the model. A realist alternative is to choose Bayesian approach to parameters estimation of such a model. The parameter estimation subjects to a learning process and preliminary knowledge about a parameter development is employed. Original extended Kalman filter with backward filter runs is used for simultaneous parameter tracking. The filter is described in the paper. The results of the parameter estimation for the macroeconomic model of the Czech economy are based on real macroeconomic data obtained from the Czech National Bank and the Czech Statistical Office.

Suggested Citation

  • Osvald Vašíček, 1995. "Bayesian Identification of Macroeconomic Model," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 2(3).
  • Handle: RePEc:czx:journl:v:2:y:1995:i:3:id:25

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    References listed on IDEAS

    1. Dirk Tasche, 2004. "The single risk factor approach to capital charges in case of correlated loss given default rates," Papers cond-mat/0402390,, revised Feb 2004.
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