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Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics

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  • Jim Griffin

    () (University of Kent)

  • Maria Kalli

    (Canterbury Christ Church University)

  • Mark Steel

    (University of Warwick)

Abstract

The use of Bayesian nonparametrics models has increased rapidly over the last few decades driven by increasing computational power and the development of efficient Markov chain Monte Carlo algorithms. We review some applications of these models in economic applications including: volatility modelling (using both stochastic volatility models and GARCH-type models) with Dirichlet process mixture models, uses in portfolio allocation problems, long memory models with flexible forms of time-dependence, flexible extension of the dynamic Nelson-Siegel model for interest rate yields and multivariate time series models used in macroeconometrics.

Suggested Citation

  • Jim Griffin & Maria Kalli & Mark Steel, 2018. "Discussion of “Nonparametric Bayesian Inference in Applications”: Bayesian nonparametric methods in econometrics," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 27(2), pages 207-218, June.
  • Handle: RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0384-0
    DOI: 10.1007/s10260-017-0384-0
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