Bibliographic record
Abstract
Bayesian econometric methods are increasingly popular in empirical macroeconomics. They have been particularly popular among macroeconomists working with Big Data (where the number of variables under study is large relative to the number of observations). This paper, which is based on a keynote address at the Rimini Centre for Economic Analysis' 2016 Money-Macro-Finance Workshop, explains why this is so. It discusses the problems that arise with conventional econometric methods and how Bayesian methods can successfully overcome them either through use of prior shrinkage or through model averaging. The discussion is kept at a relatively non-technical level, providing the main ideas underlying and motivation for the models and methods used. It begins with single-equation models (such as regression) with many explanatory variables, then moves on to multiple equation models (such as Vector Autoregressive, VAR, models) before tacking the challenge caused by parameter change (e.g. changes in VAR coefficients or volatility). It concludes with an example of how the Bayesian can address all these challenges in a large multi-country VAR involving 133 variables: 7 variables for each of 19 countries.
Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.
How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.023 | 0.088 |
| Meta-epidemiology (narrow) | 0.002 | 0.002 |
| Meta-epidemiology (broad) | 0.003 | 0.003 |
| Bibliometrics | 0.005 | 0.006 |
| Science and technology studies | 0.001 | 0.004 |
| Scholarly communication | 0.005 | 0.006 |
| Open science | 0.004 | 0.005 |
| Research integrity | 0.004 | 0.008 |
| Insufficient payload (model declined to judge) | 0.008 | 0.003 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".