Search Results - subject:"reduced rank models"

Spurious inference in reduced-rank asset-pricing models

Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628

Persistent link: https://www.econbiz.de/10011791596

VARs, Cointegration and Common Cycle Restrictions

Anderson, Heather M; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2010

This paper argues that VAR models with cointegration and common cycles can be usefully viewed as observable factor models. The factors are linear combinations of lagged levels and lagged differences, and as such, these observable factors have potential for forecasting. We illustrate this...

Persistent link: https://www.econbiz.de/10008470783

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

Athanasopoulos, George; Guillén, Osmani T. de C.; … - Department of Econometrics and Business Statistics, … - 2009

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We consider model selection criteria which have data-dependent penalties for a...

Persistent link: https://www.econbiz.de/10005087606

Bayesian near-boundary analysis in basic macroeconomic time series models

De Pooter, Michiel; Ravazzolo, Francesco; Segers, Rene; … - Faculteit der Economische Wetenschappen, Erasmus … - 2008

Several lessons learnt from a Bayesian analysis of basic macroeconomic time series models are presented for the situation where some model parameters have substantial posterior probability near the boundary of the parameter region. This feature refers to near-instability within dynamic models,...

Persistent link: https://www.econbiz.de/10010731830

Bayesian near-boundary analysis in basic macroeconomic time series models

Pooter, M.D. de; Ravazzolo, F.; Segers, R.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2008

multimodality can result in very slow converge for the Gibbs sampler. Multimodality may occur in reduced rank models when one is …, in particular on GDP growth, are presented. Keywords: Gibbs sampler, MCMC, autocorrelation, nonstationarity, reduced rank … models, state space models, error correction models, random effects panel data models, Bayesian model averaging JEL …

Persistent link: https://www.econbiz.de/10004972192

On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

de Pooter, Michiel D.; Segers, René; van Dijk, Herman K. - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...

Persistent link: https://www.econbiz.de/10010325199

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Persistent link: https://www.econbiz.de/10011349180

Gibbs sampling in econometric practice

De Pooter, Michiel; Segers, Rene; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

We present a road map for effective application of Bayesian analysis of a class of well-known dynamic econometric models by means of the Gibbs sampling algorithm. Members belonging to this class are the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root...

Persistent link: https://www.econbiz.de/10010731767

On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling

Pooter, Michiel D. de; Segers, René; Dijk, Herman K. van - Tinbergen Institute - 2006

Persistent link: https://www.econbiz.de/10005504906

Gibbs sampling in econometric practice

Pooter, M.D. de; Segers, R.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2006

, serial correlation, non-stationarity, reduced rank models, state-space models, random effects panel data models. JEL …

Persistent link: https://www.econbiz.de/10005450858