Global robust Bayesian analysis in large models

DOI10.1016/j.jeconom.2022.06.004OpenAlexW3125425610MaRDI QIDQ6108269

Paul Ho

Publication date: 29 June 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://economicdynamics.org/meetpapers/2019/paper_390.pdf

zbMATH Keywords

VARBayesian estimationDSGEprior sensitivity

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Striated Metropolis-Hastings sampler for high-dimensional models
• An adaptive sequential Monte Carlo method for approximate Bayesian computation
• Ranges of posterior measures for priors with unimodal contaminations
• Statistical decision theory and Bayesian analysis. 2nd ed
• Robust Bayes and empirical Bayes analysis with \(\epsilon\)-contaminated priors
• Explicativity, corroboration, and the relative odds of hypotheses. With comments by William L. Harper and John R. Wettersten
• Hyperparameter estimation in forecast models.
• Linearization of Bayesian robustness problems
• An overview of robust Bayesian analysis. (With discussion)
• An MCMC approach to classical estimation.
• Partial identification of probability distributions.
• Robust Bayesian analysis: sensitivity to the prior
• Local sensitivity diagnostics for Bayesian inference
• Robust Bayesian inference in proxy SVARs
• Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
• Recursive robust estimation and control without commitment
• Calibration and empirical Bayes variable selection
• What's News in Business Cycles
• Dynamic Identification of Dynamic Stochastic General Equilibrium Models
• Inference for Lévy-Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo
• Sets of Posterior Means with Bounded Variance Priors
• The Selection of Prior Distributions by Formal Rules
• A sequential particle filter method for static models
• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
• Forecasting and conditional projection using realistic prior distributions
• Parametric Empirical Bayes Inference: Theory and Applications
• Robust Bayesian Inference for Set‐Identified Models
• Online estimation of DSGE models
• Adaptive Sequential Posterior Simulators for Massively Parallel Computing Environments
• Priors for the Long Run
• Robustness
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Global Bayesian Robustness for Some Classes of Prior Distributions
• Local Robustness in Bayesian Analysis
• Likelihood Robustness
• Linearization Techniques in Bayesian Robustness
• The case for objective Bayesian analysis
• Economic Predictions With Big Data: The Illusion of Sparsity

This page was built for publication: Global robust Bayesian analysis in large models