Bayesian Econometrics

• Other Authors: Bernardi, Mauro (Editor), Grassi, Stefano (Editor), Ravazzolo, Francesco (Editor)
• Format: Electronic Book Chapter
• Language: English
• Published: Basel, Switzerland MDPI - Multidisciplinary Digital Publishing Institute 2020
• Subjects: Technology: general issues; unconventional monetary policy; transmission channel; Bayesian TVP-SV-VAR; Bayesian econometrics; portfolio choice; sentiments; stock market predictability; cryptocurrency; Bitcoin; forecasting; point forecast; density forecast; dynamic model averaging; dynamic model selection; forgetting factors; military and civilian spending; DSGE model; fiscal policy; monetary policy; Bayesian estimation; Bayesian VAR; density forecasting; time-varying volatility; ES; CES function; Bayesian nonlinear mixed-effects regression; MCMC methods; macroeconomic and financial applications
• Online Access: DOAB: download the publication; DOAB: description of the publication

Since the advent of Markov chain Monte Carlo (MCMC) methods in the early 1990s, Bayesian methods have been proposed for a large and growing number of applications. One of the main advantages of Bayesian inference is the ability to deal with many different sources of uncertainty, including data, mode...