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总量冲击与宏观经济波动：贝叶斯方法AI 解读

Abstract This paper describes Bayesian techniques for analysing the effects of aggregate shocks on macroeconomic time‐series. Rather than calculate point estimates of the response of a time‐series to an aggregate shock, we calculate the whole probability density function of the response and use Monte‐Carlo or Gibbs sampling techniques to evaluate its properties. The proposed techniques impose identification restrictions in a way that includes the uncertainty in these…

“客观”贝叶斯单位根检验AI 解读

Abstract Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time‐series. Bayesian posterior odds comparing unit root models to stationary and trend‐stationary alternatives are calculated using informative priors. Two classes of reference priors which are informative but require minimal subjective prior input are used. In this sense the Bayesian unit root tests developed here are objective.…