A Bayesian View of Nominal Money and Real Output Through a New Classical Macroeconomic Window

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.