Dear Professor Pfeifer, When I use Bayesian approach to estimate the parameters in the model, I choose, for example, 6 observation series as there are 6 shocks and get results which seem ideal. However, when I change one of the series to a new one (e.g. I substitute output series for interest rate …

Problems with the results of Bayesian estimation?

jpfeifer June 16, 2020, 8:18am 2

See e.g.

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Bayesian Estimation Questions

Correlation among observables in DSGE models