A Bayesian approach to dynamic macroeconomics

David N. DeJong, Beth F. Ingram, Charles H. Whiteman

Research output: Contribution to journalArticle

64 Citations (Scopus)

Abstract

We propose and implement a coherent statistical framework for combining theoretical and empirical models of macroeconomic activity. The framework is Bayesian, and enables the formal yet probabilistic incorporation of uncertainty regarding the parameterization of theoretical models. The approach is illustrated using a neoclassical business-cycle model that builds on the Greenwood et al. (1988, American Economic Review 78, 402-417) variable-utilization framework to study out-of-sample forecasting of output and investment. The forecasts so produced are comparable with those from a Bayesian vector autoregression.

Original languageEnglish (US)
Pages (from-to)203-223
Number of pages21
JournalJournal of Econometrics
Volume98
Issue number2
DOIs
StatePublished - Jan 1 2000

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Bayesian approach
Macroeconomic dynamics
Bayesian vector autoregression
Empirical model
Business cycle model
Out-of-sample forecasting
Uncertainty
Economics
Macroeconomics

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

DeJong, David N. ; Ingram, Beth F. ; Whiteman, Charles H. / A Bayesian approach to dynamic macroeconomics. In: Journal of Econometrics. 2000 ; Vol. 98, No. 2. pp. 203-223.
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A Bayesian approach to dynamic macroeconomics. / DeJong, David N.; Ingram, Beth F.; Whiteman, Charles H.

In: Journal of Econometrics, Vol. 98, No. 2, 01.01.2000, p. 203-223.

Research output: Contribution to journalArticle

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