 | Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model Author/Editor: Huigang Chen, Alin Mirestean, Charalambos G. Tsangarides. Release Date:October, 2011 This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited more...
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| Constructing Forecast Confidence Bands During the Financial Crisis Author/Editor: Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton. Release Date:September, 2009 We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a more...
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| Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods Author/Editor: Alin Mirestean, Charalambos G. Tsangarides, Huigang Chen. Release Date:April, 2009 Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent more...
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