Econometria · Econometria aplicada · econometria bayesiana · prática da econometria

Shazam!

Sandwich estimator
Heteroskedasticity
Autocorrelation
Zellner, the Bayesian
Augmented Dickey Fuller
Multicollinearity

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crítica de Lucas · Econometria · econometria bayesiana · Política monetária

Econometristas bayesianos podem mudar o resultado do que pretendem estudar?

“Monetary Policy, Judgment and Near-Rational Exuberance”
by
James B. Bullard, George W. Evans, and Seppo Honkapohja We study how the use of judgment or “add-factors” in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We examine the possibility of a new phenomenon, which we call exuberance equilibria, in the New Keynesian monetary policy framework. Inclusion of judgment in forecasts can lead to self-fulfilling fluctuations in a subset of the determinacy region. We study how policymakers can minimize the risk of exuberance equilibria.

Em outras palavras: fazer ajustes “não-paramétricos” (por assim dizer) nas previsões de um banco central qualquer que pretende influenciar as expectativas dos agentes privados pode gerar um resultado distinto. Bayesianos também sofrem de crítica de Lucas? ^_^