Relevant bibliographies by topics / Bayesian econometrics / Dissertations / Theses
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Dissertations / Theses on the topic 'Bayesian econometrics'

Author: Grafiati
Published: 4 June 2021
Last updated: 26 July 2025

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1

KIM, DONG-HYUK. "Bayesian Econometrics for Auction Models." Diss., The University of Arizona, 2010. http://hdl.handle.net/10150/193663.

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This dissertation develops Bayesian methods to analyze data from auctions and produce policy recommendations for auction design. The essay, "Auction Design Using Bayesian Methods," proposes a decision theoretic method to choose a reserve price in an auction using data from past auctions. Our method formally incorporates parameter uncertainty and the payoff structure into the decision procedure. When the sample size is modest, it produces higher expected revenue than the plug-in methods. Monte Carlo evidence for this is provided. The second essay, "Flexible Bayesian Analysis of First Price Auct
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2

Kalli, Maria. "Bayesian Nonparametrics and Applications in Financial Econometrics." Thesis, University of Kent, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.499786.

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3

Cornwall, Gary J. "Three Essays on Bayesian Econometric Methods." University of Cincinnati / OhioLINK, 2017. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1504801632767553.

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4

Santos, Fernando Genta dos. "Ensaios sobre macroeconometria bayesiana aplicada." Universidade de São Paulo, 2012. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-04042012-201945/.

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Os três artigos que compõe esta Tese possuem em comum a utilização de técnicas macroeconométricas bayesianas, aplicadas a modelos dinâmicos e estocásticos de equilíbrio geral, para a investigação de problemas específicos. Desta forma, esta Tese busca preencher importantes lacunas presentes na literatura nacional e internacional. No primeiro artigo, estimou-se a importância do canal de custo da política monetária por meio de um modelo novo-keynesiano dinâmico e estocástico de equilíbrio geral. Para tanto, alteramos o modelo convencional, assumindo que uma parcela das firmas precise contrair emp
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5

Wang, Jiahui. "Three essays on econometrics /." Thesis, Connect to this title online; UW restricted, 1997. http://hdl.handle.net/1773/7477.

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6

Fantinatti, Marcos da Costa. "Modelo de equilíbrio geral estocástico e o mercado de trabalho brasileiro." Universidade de São Paulo, 2016. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-25022016-112933/.

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Os três artigos desta tese focam no mercado de trabalho. O primeiro artigo calculou a probabilidade com que um trabalhador deixa o emprego e a probabilidade com que um desempregado encontra trabalho no Brasil. A metodologia utilizada foi a desenvolvida por Shimer (2012). O objetivo foi determinar qual destes dois fatores seria o mais importante para explicar as flutuações da taxa de desemprego no Brasil. Os resultados mostraram que é a dinâmica da probabilidade com que um desempregado encontra emprego que explica o comportamento da taxa de desemprego. Este resultado é distinto daquele encontra
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7

Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.

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Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este
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8

Wu, Yue. "Bayesian dynamic covariance models with applications to finance and econometrics." Thesis, University of Cambridge, 2014. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.708037.

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9

Serrano, Fábio Martins. "Impacto regional da política monetária no Brasil: uma abordagem bayesiana." Universidade de São Paulo, 2014. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-16032015-132813/.

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Esta dissertação tem como objetivo (i) estimar a resposta das Unidades Federativas brasileiras a um choque de política monetária e, caso as mesmas respondam de forma assimétrica, (ii) compreender os determinantes de tal heterogeneidade. Para tanto, faz-se uso de técnicas de econometria Bayesiana, assim como em Francis et al (2012). Tais técnicas visam contornar o problema de dimensionalidade inerente aos modelos que englobam um número elevado de variáveis, além de permitir modelar formalmente a incerteza existente na escolha do conjunto de covariadas adequado. A resposta das Unidades Federativ
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10

Farrell, Patrick John. "Empirical Bayes estimation of small area proportions." Thesis, McGill University, 1991. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=70301.

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Due to the nature of survey design, the estimation of parameters associated with small areas is extremely problematic. In this study, techniques for the estimation of small area proportions are proposed and implemented. More specifically, empirical Bayes estimation methodologies, where random effects which reflect the complex structure of a multi-stage sample design are incorporated into logistic regression models, are derived and studied.<br>The proposed techniques are applied to data from the 1950 United States Census to predict local labor force participation rates of females. Results are c
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11

Wong, Brehnen. "The Bayesian economic agent as a mechanism for asset-price bubbles." abstract and full text PDF (free order & download UNR users only), 2008. http://0-gateway.proquest.com.innopac.library.unr.edu/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:1460791.

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12

Falconer, Jean. "Essays in Fiscal Policy." Thesis, University of Oregon, 2018. http://hdl.handle.net/1794/23774.

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The subject of this dissertation is fiscal policy in the United States. In recent years the limitations of monetary policy have become more evident, generating greater interest in the use of fiscal policy as a stabilization tool. Despite considerable advances in the fiscal policy literature, many important questions about the effects and implementation of such policy remain unresolved. This motivates the present work, which explores both topics in the chapters that follow. I begin in the second chapter by estimating Federal Reserve responses to changes in taxes and spending. Monetary respo
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13

Prüser, Jan [Verfasser], and Christoph [Akademischer Betreuer] Hanck. "Essays in Modeling Fat Time Series Data using Bayesian Econometrics / Jan Prüser ; Betreuer: Christoph Hanck." Duisburg, 2019. http://d-nb.info/1191692493/34.

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14

Doehr, Rachel M. "Adventures at the Zero Lower Bound: A Bayesian Time-Varying Parameter Vector Autoregressive Analysis of Monetary Policy Uncertainty Shocks." Scholarship @ Claremont, 2016. http://scholarship.claremont.edu/cmc_theses/1318.

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Using survey-based measures of future interest rate expectations from the Blue Chip Economic Indicators and the Survey of Professional Forecasters, we examine the relationship between monetary policy uncertainty, captured as the dispersion of interest rate forecasts, and fluctuations in real economic activity and core inflation. We use a flexible time-varying parameter vector autoregression (TVP-VAR) model to clearly isolate the dynamic effects of shocks to monetary policy uncertainty. To further study possible a possible nonlinear relationship between monetary policy uncertainty and the macro
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15

Li, Yuan. "The new development of econometrics and its applications in financial markets." Diss., Online access via UMI:, 2009.

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16

Roberts, Danielle M. "The Resource Curse and Economic Freedom: A Bayesian Perspective." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1132.

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The literature addressing the resource curse has been extensive. Many studies have put forth theories to explain the curse, but these theories are often refuted by new studies. Recently, there has been a theory that natural resource abundance leads to decreased economic freedom, which causes slower economic growth. Many of these studies have using frequentist testing to arrive at their conclusions. Although frequentist testing is widely used, there are several drawbacks. In particular, there is no way of addressing model uncertainty. Unless a study is able to incorporate every significant expl
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Ribeiro, Ramos Francisco Fernando, and fr1960@clix pt. "Essays in time series econometrics and forecasting with applications in marketing." RMIT University. Economics, Finance and Marketing, 2007. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20071220.144516.

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This dissertation is composed of two parts, an integrative essay and a set of published papers. The essay and the collection of papers are placed in the context of development and application of time series econometric models in a temporal-axis from 1970s through 2005, with particular focus in the Marketing discipline. The main aim of the integrative essay is on modelling the effects of marketing actions on performance variables, such as sales and market share in competitive markets. Such research required the estimation of two kinds of time series econometric models: multivariate and multip
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18

PACCAGNINI, ALESSIA. "Model validation in the DSGE approach." Doctoral thesis, Universita' Bocconi Milano, 2009. http://hdl.handle.net/10281/13792.

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The purpose of this thesis is to discuss the introduction and the implementation of the idea of model validation, especially in the use of Dynamic Stochastic General Equilibrium (DSGE) models. In this discussion, the mixture models are presented as the recent econometrics tool used in model validation. Two examples of DSGE models are illustrated in order to introduce two problems: omitted variables within the statistical identification problem and the finite-order representation by a Vector Autoregressive (VAR) of a DSGE model. The paper concludes the review considering some pointers for the
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19

Nunes, André Francisco Nunes de. "Três ensaios sobre intermediação financeira em modelos DSGE aplicados ao Brasil." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2015. http://hdl.handle.net/10183/132999.

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Esta tese é composta por três ensaios sobre a estimação bayesiana de modelos DSGE com fricções financeiras para o Brasil. O primeiro ensaio tem o objetivo de analisar como a incorporação de intermediários financeiros num modelo DSGE influenciam na análise do ciclo econômico, bem como uma política de crédito pode ser utilizada para mitigar os choques no mercado de crédito sobre a atividade. O governo brasileiro expandiu o crédito na economia através das instituições financeiras públicas tendo como custo o aumento da dívida pública. Para isso, foi estimado um modelo inspirado em Gertler e Karadi
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Ndoye, Abdoul Aziz Junior. "Essays on the econometrics of inequality and poverty measurements." Thesis, Aix-Marseille, 2013. http://www.theses.fr/2013AIXM1125.

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Cette thèse est composée de quatre essais sur l'économétrie des mesures d'inégalité et de pauvreté. Elle fournit un traitement statistique fondé sur l'analyse de modèles probabilistes de mélange fini de distributions et de modèle de régression quantile, le tout dans une approche Bayésienne.Le deuxième chapitre s'intéresse à la modélisation d'une distribution de revenus par un mélange fini de lois log-normales dont les paramètres sont estimés par la méthode d'échantillonnage de Gibbs. Ce chapitre propose une méthode d'inférence statistique pour certains indices d'inégalité par une Rao-Blackwell
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21

Nguyen, Trong Nghia. "Deep Learning Based Statistical Models for Business and Financial Data." Thesis, The University of Sydney, 2021. https://hdl.handle.net/2123/26944.

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We investigate a wide range of statistical models commonly used in many business and financial econometrics applications and propose flexible ways to combine these highly interpretable models with powerful predictive models in the deep learning literature to leverage the advantages and compensate the disadvantages of each of the modelling approaches. Our approaches of utilizing deep learning techniques for financial data are different from the recently proposed deep learning-based models in the financial econometrics literature in several perspectives. First, we do not overlook well-establishe
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22

Salabasis, Mickael. "Bayesian time series and panel models : unit roots, dynamics and random effects." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics (Ekonomiska forskningsinstitutet vid Handelshögsk.) (EFI), 2004. http://www.hhs.se/efi/summary/632.htm.

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23

Rocio, Vitor Dias. "Um modelo espaço-temporal contínuo para o preço de lançamentos imobiliários na cidade de São Paulo." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/96/96131/tde-03082018-105129/.

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Neste trabalho será feito um modelo espaço-temporal contínuo para preços de imóveis na cidade de São Paulo estimado através de métodos Bayesianos. Faremos uma decomposição da série em tendência e ciclo além de incorporar um conjunto de variáveis explicativas e efeitos aleatórios espaciais projetados no contínuo. Este modelo introduz um novo método para analisar a formação dos preços dos lançamentos imobiliários. Consideramos em nosso modelo hedônico, além das características intrínsecas, também as características da vizinhança e o ambiente econômico. Com este modelo, conseguimos observar os pr
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24

PACCAGNINI, ALESSIA. "Model validation in the DSGE approach." Doctoral thesis, Università Bocconi, 2009. https://hdl.handle.net/11565/4053466.

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The purpose of this thesis is to discuss the introduction and the implementation of the idea of model validation, especially in the use of Dynamic Stochastic General Equilibrium (DSGE) models. In this discussion, the mixture models are presented as the recent econometrics tool used in model validation. Two examples of DSGE models are illustrated in order to introduce two problems: omitted variables within the statistical identification problem and the finite-order representation by a Vector Autoregressive (VAR) of a DSGE model. The paper concludes the review considering some pointers for the
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25

Parmler, Johan. "Essays in empirical asset pricing." Doctoral thesis, Stockholm : Economic Research Institute (EFI), Stockholm School of Economics, 2005. http://www.hhs.se/efi/summary/691.htm.

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26

Silvestrini, Andrea. "Essays on aggregation and cointegration of econometric models." Doctoral thesis, Universite Libre de Bruxelles, 2009. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210304.

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This dissertation can be broadly divided into two independent parts. The first three chapters analyse issues related to temporal and contemporaneous aggregation of econometric models. The fourth chapter contains an application of Bayesian techniques to investigate whether the post transition fiscal policy of Poland is sustainable in the long run and consistent with an intertemporal budget constraint.<p><p><p>Chapter 1 surveys the econometric methodology of temporal aggregation for a wide range of univariate and multivariate time series models. <p><p><p>A unified overview of temporal aggregatio
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Welz, Peter. "Quantitative New Keynesian Macroeconomics and Monetary Policy." Doctoral thesis, Uppsala : Department of Economics, Uppsala University, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-5978.

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28

Afghari, Amir Pooyan. "Detecting motor vehicle crash blackspots based on their underlying behavioural, engineering, and spatial causes." Thesis, University of Queensland, 2019. https://eprints.qut.edu.au/127653/1/127653.pdf.

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The state of the practice in crash blackspot identification (BSI) has largely been driven by empirical research without much explicit attention paid to the underlying theoretical assumptions. These embedded assumptions have shaped the science of blackspot identification methodologies and developments over time. Despite the fairly extensive methodological enhancements made during the past five decades, little attention has been paid to reviewing, questioning and possibly revising these underlying theoretical assumptions. The theoretical assumptions underlying blackspot identification include: 1
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Wang, Chao. "The relationship between traffic congestion and road accidents : an econometric approach using GIS." Thesis, Loughborough University, 2010. https://dspace.lboro.ac.uk/2134/6207.

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Both traffic congestion and road accidents impose a burden on society, and it is therefore important for transport policy makers to reduce their impact. An ideal scenario would be that traffic congestion and accidents are reduced simultaneously, however, this may not be possible since it has been speculated that increased traffic congestion may be beneficial in terms of road safety. This is based on the premise that there would be fewer fatal accidents and the accidents that occurred would tend to be less severe due to the low average speed when congestion is present. If this is confirmed then
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Ormeño, Sánchez Arturo. "Essays on Inflation Expectations, Heterogeneous Agents, and the Use of Approximated Solutions in the Estimation of DSGE models." Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/51247.

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In this thesis I evaluate the departures of three common assumptions in macroeconomic modeling and estimation, namely the Rational Expectations (RE) hypothesis, the representative agent assumption and the use of first-order approximations in the estimation of dynamic stochastic general equilibrium (DSGE) models. In the first chapter I determine how the use of survey data on inflation expectations in the estimation of a model alters the evaluation of the RE assumption in comparison to an alternative assumption, namely learning. In chapter two, I use heterogeneous agent models to determine the r
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31

Lau, Wai Kwong. "Bayesian nonparametric methods for some econometric problems /." View abstract or full-text, 2005. http://library.ust.hk/cgi/db/thesis.pl?ISMT%202005%20LAU.

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32

Wu, Ruochen. "Essays on semi-parametric Bayesian econometric methods." Thesis, University of Cambridge, 2019. https://www.repository.cam.ac.uk/handle/1810/288745.

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This dissertation consists of three chapters on semi-parametric Bayesian Econometric methods. Chapter 1 applies a semi-parametric method to demand systems, and compares the abilities to recover the true elasticities of different approaches to linearly estimating the widely used Almost Ideal demand model, by either iteration or approximation. Chapter 2 co-authored with Dr. Melvyn Weeks introduces a new semi-parametric Bayesian Generalized Least Square estimator, which employs the Dirichlet Process prior to cope with potential heterogeneity in the error distributions. Two methods are discussed a
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Wu, Jingtao. "Three Bayesian econometric studies on forecast evaluation." [Ames, Iowa : Iowa State University], 2009.

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34

Norets, Andriy. "Bayesian inference in dynamic discrete choice models." Diss., University of Iowa, 2007. http://ir.uiowa.edu/etd/148.

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Pole, A. M. "Bayesian analysis of some threshold switching models." Thesis, University of Nottingham, 1985. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.356040.

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Fonseca, Marcelo Gonçalves da Silva. "Essays on the credit channel of monetary policy: a case study for Brazil." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11748.

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Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T19:10:06Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy - a Case Study for Brazil.pdf: 3704297 bytes, checksum: 3b1fcaf85bbcf74f3843e7c2c0d1cad9 (MD5)<br>Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Boa tarde Marcelo, conforme conversamos ao telefone. Att. Suzi 3799-7876 on 2014-05-19T19:47:10Z (GMT)<br>Submitted by Marcelo Fonseca (marcelo.economista@hotmail.com) on 2014-05-19T21:20:48Z No. of bitstreams: 1 Essays on the Credit Channel of Monetary Policy -
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Lecumberry, Julien. "Transmission des chocs spéculatifs et effets asymétriques." Thesis, Rennes 1, 2014. http://www.theses.fr/2014REN1G011/document.

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Fin 2008, la faillite de Lehmann Brother fait basculer les économies développées dans une crise économique qui se propagea brutalement à l'ensemble du monde. Connu sous le nom de Grande Récession, cet épisode a depuis contribué à raviver les inquiétudes relatives aux déséquilibres sur les marchés financiers. S'inscrivant dans ce contexte, cette thèse tente d'apporter un éclairage nouveau aux effets macroéconomiques de déséquilibres sur un marché particulier : le marché des actions. Après avoir répondu à l'étape préliminaire consistant à définir la composante spéculative, nous explorons ses can
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Petteno', Michele <1985&gt. "Italian Electricity Prices: a Bayesian Approach." Master's Degree Thesis, Università Ca' Foscari Venezia, 2012. http://hdl.handle.net/10579/2193.

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The Italian Power System is characterized by the presence of six electricity zones. The aim of the thesis is to evaluate zonal interdependence, from a cross section and time variations point of view. Given the high number of parameters to be examined, the computing tool used is the Bayesian approach, which is useful to avoid the problem of over-parameterization. The model is applied to equilibrium electricity spot prices of the Italian Wholesale Market; lagged prices and zonal temperatures are included as independent variables. “Fourier Spectral Analysis” is another important tool used to over
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Hauer, Mariana. "Os modelos VAR e VEC espaciais : uma abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12585.

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O objetivo deste trabalho é apresentar o Modelo Vetorial Autorregressivo (VAR) e uma das suas variações, o Modelo Vetorial de Correções de Erros (VEC), segundo uma abordagem Bayesiana, considerando componentes regionais, que serão inseridos nos modelos apresentados através de informações a priori que levam em consideração a localização dos dados. Para formar tais informações a priori são utilizados conceitos referentes à econometria espacial, como por exemplo, as relações de contigüidade e as implicações que estas trazem. Como exemplo ilustrativo, o modelo em questão será aplicado a um conjunt
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Shami, Roland G. (Roland George) 1960. "Bayesian analysis of a structural model with regime switching." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9277.

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Ahelegbey, Daniel Felix <1983&gt. "Bayesian graphical models with economic and financial applications." Doctoral thesis, Università Ca' Foscari Venezia, 2015. http://hdl.handle.net/10579/6548.

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Recent advances in empirical finance has seen a considerable amount of research in network econometrics for systemic risk analysis. The network approach aims to identify the key determinants of the structure and stability of the financial system, and the mechanism for systemic risk propagation. This thesis contributes to the literature by presenting a Bayesian graphical approach to model cause and effect relationships in observed data. It contributes specifically to model selection in moderate and high dimensional problems and develops Markov chain Monte Carlo procedures for efficient model es
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Rossini, Luca <1987&gt. "Contributions to bayesian nonparametric and objective Bayes literature." Doctoral thesis, Università Ca' Foscari Venezia, 2016. http://hdl.handle.net/10579/10292.

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The thesis contributes to the literature on Bayesian nonparametrics by proposing two approaches, the first one related to time series analysis with a focus on sparsity of the matrix of coefficients and the second one to conditional copula models with an application to twin data. On the other hand, the thesis contributes to the literature on the analysis of the Yule-Simon distribution by proposing two objective priors on the parameter of the distribution and a Gibbs sampling algorithm for the analysis of the posterior distribution.
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Oduro, Samuel Dua. "Bayesian econometric modelling of informed trading, bid-ask spread and volatility." Thesis, University of Kent, 2016. https://kar.kent.ac.uk/61094/.

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Recent developments in global financial markets have increased the need for research aimed at the measurement and possible reduction of liquidity risk. In particular, market crashes have been partly blamed on the sudden withdrawal of liquidity in markets and increases in liquidity risk. To this end, it is important to develop better approaches for inferring or quantifying liquidity risk. Liquidity risk caused by some investors trading on their information advantage (informed trading) has been a subject of market microstructure research in the last few decades. Researchers have employed informa
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Rotaru, Igor <1988&gt. "A Bayesian MS-SUR Model for Forecasting Exchange Rates." Master's Degree Thesis, Università Ca' Foscari Venezia, 2014. http://hdl.handle.net/10579/5207.

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The thesis proposes a new Bayesian factor model in the forecasting exchange rates using an application of Markov chain Monte Carlo to Bayesian inference. First we describe the Zellner's Seemingly Unrelated Regression (SUR) multivariate model with ten macroeconomic fundamentals in order to forecast the six exchange rates over the years 2002-2014. Secondly, we assume a latent Markov switching process is driving the parameters of the SUR model in order to detect structural instabilities. We develop MATLAB code for analysing and forecasting monthly exchange rate series.
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Sarferaz, Samad. "Essays on business cycle analysis and demography." Doctoral thesis, Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2010. http://dx.doi.org/10.18452/16151.

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Diese Arbeit besteht aus vier Essays, die empirische und methodische Beiträge zur Messung von Konjunkturzyklen und deren Zusammenhänge zu demographischen Variablen liefern. Der erste Essay analysiert unter Zuhilfenahme eines Bayesianischen Dynamischen Faktormodelles die Volatilität des US-amerikanischen Konjunkturzyklus seit 1867. In dem Essay wird gezeigt, dass die Volatilität in der Periode vor dem Ersten Weltkrieg und nachdem Zweiten Weltkrieg niedriger war als in der Zwischenkriegszeit. Eine geringere Volatilität für die Periode nach dem Zweiten Weltkrieg im Vergleich zu der Periode vor de
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Li, Guangjie. "Essays on economic and econometric applications of Bayesian estimation and model comparison." Thesis, University of Leicester, 2009. http://hdl.handle.net/2381/4792.

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This thesis consists of three chapters on economic and econometric applications of Bayesian parameter estimation and model comparison. The first two chapters study the incidental parameter problem mainly under a linear autoregressive (AR) panel data model with fixed effect. The first chapter investigates the problem from a model comparison perspective. The major finding in the first chapter is that consistency in parameter estimation and model selection are interrelated. The reparameterization of the fixed effect parameter proposed by Lancaster (2002) may not provide a valid solution to the in
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47

Bianchin, Daniele <1990&gt. "Bayesian Multivariate Autoregressive Gamma Processes: An Application to Realized Volatility." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10626.

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In this thesis I present the multivariate Autoregressive Gamma process introduced by Le, Singleton and Dai (2010), a model founded on the univariate ARG first introduced in Gourieroux and Jasiak (2006). I discuss its mathematical properties and provide a MCMC algorithm for the Bayesian estimation of the parameters. The gamma process has been used due to its desirable properties in modelling realized volatility, for this reason I evaluate its performance on a panel of realized volatilities for multiple assets.
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48

Almeida, Vanda Regina Guimarães de. "Bayesian estimation of a DSGE model for the Portuguese economy." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/2775.

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Mestrado em Econometria Aplicada e Previsão<br>In this paper, a New-Keynesian DSGE model for a small open economy integrated in a monetary union is developed and estimated for the Portuguese economy, using a Bayesian approach. Estimates for some key structural parameters are obtained and a set of exercises exploring the model's statistical and economic properties are performed. A survey on the main events and literature associated with DSGE models that motivated this study is also provided, as well as a comprehensive discussion of the Bayesian estimation and model vali¬dation techniques applie
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49

Simoni, Anna <1980&gt. "Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2009. http://amsdottorato.unibo.it/1211/1/Tesi_Anna_Simoni.pdf.

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In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distrib
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50

Simoni, Anna <1980&gt. "Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance." Doctoral thesis, Alma Mater Studiorum - Università di Bologna, 2009. http://amsdottorato.unibo.it/1211/.

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Abstract:
In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distrib
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