Bayesian inference

Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Keywords: 
Bayesian inference, VAR, Lasso, Adaptive
Version Date: 
Jan 2012
Author/s: 
Deborah Gefang
Abstract: 

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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Evaluating An Estimated New Keynesian Small Open Economy Model

JEL codes: 
C11, C53, E17
Keywords: 
Bayesian inference, DSGE model, DSGE-VAR model, open economy, DSGEVECM model
Version Date: 
Dec 2006
Author/s: 
Jesper Lindé, Mattias Villani
Abstract: 

This paper estimates and tests a new Keynesian small open economy model in the tradition of Christiano, Eichenbaum, and Evans (2005) and Smets and Wouters (2003) using Bayesian estimation techniques on Swedish data. To account for the switch to an inflation targeting regime in 1993 we allow for a discrete break in the central bank's instrument rule.

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