Bayesian Econometric Methodology, September 8-9, 2006
Workshop, Sveriges Riksbank
Aim
Bayesian methods are increasingly used in almost all areas of applied economics. A recent example from the perspective of monetary policy is the class of Dynamic Stochastic General Equilibrium (DSGE) models, where Bayesian inference is nowadays routinely used. The aim of this workshop is to discuss recent advances in Bayesian econometric methodology and their applications. We are interested in newly developed inferential tools, as well as empirical applications where existing methods are used in a novel way. Papers which compare different Bayesian methods/algorithms are also highly relevant for the workshop.
Program
Thursday, September 7
| 19:00 |
Reception and buffet at the Riksbank
|
Friday, September 8
| 9.00 |
Opening
Bayesian Econometrics: Past, Present and Future
[paper]
Arnold Zellner, University of Chicago
|
| 10.00 |
Session I. Chair: Mattias Villani
Bayesian Modeling of Conditional Distributions
[paper] [presentation]
John Geweke, University of Iowa
Discussant: Dale Poirier, University of California-Irvine
Making Macroeconomic Models Behave Reasonably
[paper]
Christopher Sims, Princeton University
Discussant: Charles Whiteman, University of Iowa
|
| 13.30 |
Session II. Chair: Paolo Giordani
Bayesian Inference in a Cointegrating Panel Data Model
[paper] [presentation]
Rodney Strachan, Leicester University
Discussant: Andrzej Kociecki, National Bank of Poland
Adaptive Independent Metropolis-Hastings by Fast Estimation of Mixtures of Normals
[paper]
Robert Kohn, University of New South Wales
Discussant: Antonietta Mira, Università dell’Insubria
Regime Switching GARCH Models
Luc Bauwens, Université Catholique de Louvain
Discussant: Timo Teräsvirta, Stockholm School of Economics
|
Saturday, September 9
| 9.00 |
Session III. Chair: Tor Jacobson
Model Uncertainty and Bayesian Model Averaging in Structural Vector Autoregressive Processes with Applications to the Stability of the Great Ratios in the USA and Possible Inflationary Effects of an Oil Price Shock in the UK
[paper] [presentation]
Herman van Dijk, Erasmus University
Discussant: Anders Warne, European Central Bank
Generalized methods for restricted Markov-switching models with independent state variables
[paper] [presentation]
Dan Waggoner, Federal Reserve Bank of Atlanta
Discussant: Sune Karlsson, Örebro University
Inference in Arbitrage-Free Affine Yield Curve Models
Siddhartha Chib, Washington University in St. Louis
Discussant: Simon Potter, Federal Reserve Bank of New York
|
| 13.30 |
Session IV. Chair: Robert Kohn
Estimating Macroeconomic Models: A Likelihood approach
[paper] [presentation]
Jesús Fernández-Villaverde, University of Pennsylvania
Discussant: Michael Pitt, University of Warwick
Estimating the Likelihood Function Using a Particle Filter
Neil Shephard, Oxford University
Discussant: Christophe Andrieu, University of Bristol
Forecasting and Estimating Multiple Change-point Models with an Unknown Number of Change-points
[paper] [presentation]
Gary Koop, University of Strathclyde
Discussant: Paolo Giordani, Sveriges Riksbank
|
Format
Papers will be presented in plenary presentations of 30 minutes, followed by 15 minutes of comments by a reviewer and an additional 15 minute plenary discussion. 11 papers will be presented and overall participation at the workshop will be limited to 40 people. Prof. Arnold Zellner gives the opening talk: "Bayesian Econometrics: Past, Present and Future".
Expenses
Sveriges Riksbank will refund economy-class travel expenses and cover accommodation at the Hotel Continental, in the near vicinity of the Riksbank, for paper presenters and discussants.
Paper submission
Deadline for paper submissons was on March 17, 2006.
Organization
The workshop program and other information about the conference will be posted on the website of the Riksbank at www.riksbank.com/workshop/BayesWorkshop. The organizing committee consists of Tor Jacobson, Paolo Giordani and Mattias Villani.
Questions can be directed to BayesWorkshop@riksbank.se.
