A Bayesian View of Nominal Money and Real Output Through a New Classical Macroeconomic Window |
| |
Authors: | Dale J. Poirier |
| |
Affiliation: | Department of Economics , University of Toronto , Toronto , Ontario , M5S 1A1 , Canada |
| |
Abstract: | This study investigates the empirical evidence on the effects of unanticipated changes in nominal money on real output in 47 countries when viewed through a window (i.e., likelihood function) that assumes the neutrality of anticipated changes. Using a Bayesian predictivist approach, it provides a pedagogical Bayesian analysis of generated regressor models in the face of specification uncertainty involving, among other things, multiple unit roots and trend stationary alternatives. |
| |
Keywords: | Generated regressors Monte Carlo integration Nonnested hypotheses Prediction Specification uncertainty Unit roots |
|
|