Elements of Bayesian Statistics

Florens, Jean‐Pierre; Mouchart, Michel; Rolin, Jean-Marie

doi:10.1201/9780203758526

Cited by 66 publications

(31 citation statements)

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“…Notice that the exogeneity assumption allows us to focus on the problem of conditional density estimation, regardless the data generating mechanism of the predictors, that is, if they are randomly generated or fixed by design (see, e.g. Barndorff-Nielsen, 1973, 1978Florens et al, 1990). Let Q be the true probability measure generating the predictors, with density w.r.t.…”

Section: The Asymptotic Behavior Of the Posterior Distributionmentioning

confidence: 99%

Fully Nonparametric Regression for Bounded Data Using Dependent Bernstein Polynomials

Barrientos

Jara

Quintana

2017

Journal of the American Statistical Association

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We propose a novel class of probability models for sets of predictor-dependent probability distributions with bounded domain. The proposal extends the Dirichlet-Bernstein prior for single density estimation, by using dependent stick-breaking processes. A general model class and two simplified versions are discussed in detail. Appealing theoretical properties such as continuity, association structure, marginal distribution, large support and consistency of the posterior distribution are established for all models. The behavior of the models is illustrated using simulated and real-life data. The simulated data are also used to compare the proposed methodology to existing methods.

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Section: The Asymptotic Behavior Of the Posterior Distributionmentioning

confidence: 99%

Fully Nonparametric Regression for Bounded Data Using Dependent Bernstein Polynomials

Barrientos

Jara

Quintana

2017

Journal of the American Statistical Association

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“…The original formulation of weak exogeneity byEngle et al (1983) did not consider a Bayesian approach as in Section 3. Concepts of exogeneity from a Bayesian point of view, for which the interest lies in the posterior distribution of the parameters of interest, are discussed inFlorens, Mouchart, and Rolin (1990).…”

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confidence: 99%

The Time-Varying Effect of Monetary Policy on Asset Prices

Paul

2020

Review of Economics and Statistics

135

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This paper studies how monetary policy jointly affects asset prices and the real economy in the United States. I develop an estimator that uses high-frequency surprises as a proxy for the structural monetary policy shocks. This is achieved by integrating the surprises into a vector autoregressive model as an exogenous variable. I use current short-term rate surprises because these are least affected by an information effect.When allowing for time-varying model parameters, I find that, compared to the response of output, the reaction of stock and house prices to monetary policy shocks was particularly low before the 2007-09 financial crisis.Second, I find that stock and house prices show substantial time-variation to unanticipated changes in monetary policy. While the response of stock prices does not show a systematic pattern, the response of house prices strongly comoves with the level of house prices over most of the sample.They are less responsive when house prices are high, and more responsive when prices are low.Third, I find that, compared to output, the response of stock and house prices was particularly low before the Great Recession. Hence, attempts by the Federal Reserve to lean against the house price boom before the crisis may have been less effective.Apart from the application in this paper, the exogenous variable approach can generally be applied when a proxy for the structural shock of interest is available. In this regard, the method is an alternative implementation of the external instrument or proxy SVAR approach, introduced by Stock and Watson (2012) and Mertens and Ravn (2013). 5,6 Gertler and Karadi (2015) and Caldara and Herbst (2016) apply this method in the context of monetary policy identification.Both approaches consistently estimate the true relative impulse responses and I provide analytical derivations with respect to their equivalence. However, they use the proxy differently; once as an exogenous variable and the other time as an external instrument. In a comparison of these two methods, the exogenous variable approach allows for the simple extension with time-varying parameters since the VAR is estimated in a single step. In addition, I also compare the exogenous variable approach with the local projection instrumental variable approach (LP-IV), as proposed by Stock and Watson (2018) among others. 7The response of stock prices to monetary policy news (e.g, Bernanke and Kuttner, 2005, Rigobon andSack, 2004) or macroeconomic news more generally (e.g., Law, Song, and Yaron, 2017) is well explored in the literature. However, the relation is typically analyzed by the immediate response within a narrow window around news releases. 8 In contrast, this paper identifies the dynamic response of stock prices to monetary policy shocks. The reaction of house prices to monetary policy shocks is less explored, but interest in this question increased after the 2007-09 financial crisis. Kuttner (2013) provides an overview of the empirical findings.Last, I focus on the response of asset prices to ...

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“…Given the rapid increase in computational power of personal computers, more advanced statistical and qualitative analytical software can be employed in order to aid researchers in answering more complex research questions (Van de Schoot et al, 2014). For example, Bayesian statistics can be traced back to 1763 (Florens, 2019); however, it could not adequately be employed up until recently as the computational capacity to estimate posterior distributions based on priors was simply not possible 10 years ago (Van de Schoot et al, 2014). Similarly, photo-ethnography or visual voice analyses require the use of sophisticated software to code and analyse static images or videos (Keats, 2009), which was not possible until recently.…”

Section: Responsementioning

confidence: 99%

Debating the scientific credibility of industrial and organisational psychology: A rebuttal

Zyl

Junker

2019

SA Journal of Industrial Psychology

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The purpose of this final rebuttal article was to summarise and critically reflect on the commentaries of the nine articles to advance the debate on the confidence crisis within the South African IOP discipline.Recommendations: All SAJIP's stakeholders (authors, editors, reviewers, the publication house, universities and the journal) can play an active role in enhancing the credibility of the discipline. It is suggested that SAJIP should develop a clear and structured strategy to promote credible, transparent and ethical research practices within South Africa.

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Elements of Bayesian Statistics

Cited by 66 publications

References 0 publications

Fully Nonparametric Regression for Bounded Data Using Dependent Bernstein Polynomials

Fully Nonparametric Regression for Bounded Data Using Dependent Bernstein Polynomials

The Time-Varying Effect of Monetary Policy on Asset Prices

Debating the scientific credibility of industrial and organisational psychology: A rebuttal

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