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Generalized exogenous processes in DSGE : a Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2018 - This version: September 24, 2018
processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … results are insensitive to the choice of data filter; this contrasts with our ARMA estimates of GDP itself, which vary …
Persistent link: https://www.econbiz.de/10011901706
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Dynamics of real per capita GDP
Neuhoff, Daniel - 2015 - This Version: August 7, 2015
persistence estimates and the appropriate ARMA models. The results for the UK is sensitive to the time period. An analysis of the …
Persistent link: https://www.econbiz.de/10011309627
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Bayesian Analysis of DSGE Models with Regime Switching
Eo, Yunjong - 2016
I estimate DSGE models with recurring regime changes in monetary policy (inflation target and reaction coefficients), technology (growth rate and volatility), and/or nominal price rigidities. In the models, agents are assumed to know deep parameter values but make probabilistic inference about...
Persistent link: https://www.econbiz.de/10012706973
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2018
processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … results are insensitive to the choice of data filter; this contrasts with our ARMA estimates of GDP itself, which vary …
Persistent link: https://www.econbiz.de/10011902326
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to …
Persistent link: https://www.econbiz.de/10011335461
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Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to …
Persistent link: https://www.econbiz.de/10011207678
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Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2010
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011382676
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Modeling and estimation of synchronization in size-sorted portfolio returns
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - In: Central Bank review / Central Bank of the Republic of Turkey 22 (2022) 4, pp. 129-140
reflects a link between financial returns and real economic activity from the viewpoint of ‘financial accelerator theory’ where …
Persistent link: https://www.econbiz.de/10013471198
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A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model
Fung, Eric - 2012
In this paper, we propose a Markov Chain Quasi-Monte Carlo (MCQMC) approach for Bayesian estimation of a discrete-time version of the stochastic volatility (SV) model. The Bayesian approach represents a feasible way to estimate SV models. Under the conventional Bayesian estimation method for SV...
Persistent link: https://www.econbiz.de/10013116422
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Bayesian estimation of DSGE models with Hamiltonian Monte Carlo
Farkas, Mátyás; Tatar, Balint - 2020
In this paper we adopt the Hamiltonian Monte Carlo (HMC) estimator for DSGE models by implementing it into a state-of-the-art, freely available high-performance software package. We estimate a small scale textbook New-Keynesian model and the Smets-Wouters model on US data. Our results and...
Persistent link: https://www.econbiz.de/10012268105