Robust Bayesian Analysis for Econometrics
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DOI: 10.21033/wp-2021-11
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- Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew, 2021. "Robust Bayesian Analysis for Econometrics," CEPR Discussion Papers 16488, C.E.P.R. Discussion Papers.
References listed on IDEAS
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Cited by:
- Timothy Christensen & Hyungsik Roger Moon & Frank Schorfheide, 2022. "Optimal Decision Rules when Payoffs are Partially Identified," Papers 2204.11748, arXiv.org, revised May 2023.
- Toru Kitagawa & Sokbae Lee & Chen Qiu, 2022. "Treatment Choice with Nonlinear Regret," Papers 2205.08586, arXiv.org, revised Oct 2024.
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More about this item
Keywords
ambiguity; Bayesian robustness; statistical decision theory; identifying restrictions; multiple priors; structural vector autoregressions;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-09-06 (Econometrics)
- NEP-ETS-2021-09-06 (Econometric Time Series)
- NEP-ISF-2021-09-06 (Islamic Finance)
- NEP-ORE-2021-09-06 (Operations Research)
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