May be of interest to you.
Best
Michel
-------- Original Message -------- Subject: Identification of Bayesian DSGE models Date: Wed, 23 Mar 2011 18:01:33 +0000 From: Ron Smith r.smith@econ.bbk.ac.uk To: michel.juillard@ens.fr
Dear Prof Juillard You may be interested in the attached paper with Hashem Pesaran and Gary Koop. It considers how prior and posterior differ for unidentified parameters and suggests a fairly easy way to check local identification by simulating the model on different sized samples. Best wishes Ron Smith
Prof Ron P Smith, Economics, Birkbeck College, Malet Street, London WC1E 7HX Tel 44 (0)20 7631 6413 Fax 6416 Home page: http://www.ems.bbk.ac.uk/faculty/smith/index_html
many thanks Marco
On 3/25/2011 9:35 AM, Michel Juillard wrote:
May be of interest to you.
Best
Michel
-------- Original Message -------- Subject: Identification of Bayesian DSGE models Date: Wed, 23 Mar 2011 18:01:33 +0000 From: Ron Smith r.smith@econ.bbk.ac.uk To: michel.juillard@ens.fr
Dear Prof Juillard You may be interested in the attached paper with Hashem Pesaran and Gary Koop. It considers how prior and posterior differ for unidentified parameters and suggests a fairly easy way to check local identification by simulating the model on different sized samples. Best wishes Ron Smith
Prof Ron P Smith, Economics, Birkbeck College, Malet Street, London WC1E 7HX Tel 44 (0)20 7631 6413 Fax 6416 Home page: http://www.ems.bbk.ac.uk/faculty/smith/index_html
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