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Large Time-Varying Parameter Vars : A Non-Parametric Approach
Kapetanios, George - 2017
In this paper we introduce a non-parametric estimation method for a large Vector Autoregression (VAR) with time …
Persistent link: https://www.econbiz.de/10012949026
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Time-varying instrumental variable estimation
Giraitis, Liudas; Kapetanios, George; Marcellino, … - 2020
We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly …
Persistent link: https://www.econbiz.de/10012262677
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Impulse Response Functions from Structural Dynamic Factor Models : A Monte Carlo Evaluation
Kapetanios, George - 2014
The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable … two alternative estimation methods for the DFM. Finally, as an example, we reconsider the issue of the identification of …
Persistent link: https://www.econbiz.de/10012709803
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2014
Persistent link: https://www.econbiz.de/10010411466
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Inference on multivariate heteroscedastic time varying random coefficient models
Giraitis, Liudas; Kapetanios, George; Yates, Anthony - 2015
series and estimation of time varying parameter processes by well-known rolling regression estimation techniques. We … point for further research on numerous open problems including establishing estimation results of time-varying parameters …
Persistent link: https://www.econbiz.de/10011405250
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011405253
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A UK financial conditions index using targeted data reduction : forecasting and structural identification
Kapetanios, George; Price, Simon; Young, Garry - 2017
Persistent link: https://www.econbiz.de/10011913011
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A UK financial conditions index using targeted data reduction : forecasting and structural identification
Kapetanios, George; Price, Simon; Young, Garry - 2017
Persistent link: https://www.econbiz.de/10011747023
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Large time-varying parameter VARs : a non-parametric approach
Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017
Persistent link: https://www.econbiz.de/10011959996
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003787656