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Bayesian Econometrics Workshop — Abstracts
Herman van Dijk, Erasmus University, The Netherlands
Bayesian many model averaging with evidence on stability of US great ratios and risk of a Japanese liquidity trap
A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated within the linear VAR. Second, the structural VAR model is extended to include a smooth transition function in a (monetary) equation and stochastic volatility in the disturbances so as to explore the probability of an international liquidity trap. Posterior probabilities of different models are evaluated using Markov chain Monte Carlo.
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