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Bayesian Specification and Identification of a Class of Mixture Models.

Mouchart, M.; San Martin, E. - Center for Operations Research and Econometrics (CORE), … - 1998

This note argues that a Bayesian framework is almost inescapable when specifying statistical models of the LISREL type, i.e. models involving not only latent and manifest variables but also incidental parameters. Indeed, a careful specification, making every hypothesis explicit and interpretable...

Persistent link: https://www.econbiz.de/10005779490

Identification Problems in a Class of Mixture Models with an Application to the Lisrel Model.

Mouchart, M.; San Martin, E. - Center for Operations Research and Econometrics (CORE), … - 1998

Five different identification problems in mixture models are made explicit. Necessary and sufficient relationships among these problems of identification are analyzed using the concepts of weak and strong identification. This analysis is first particularized under a normality assumption and then...

Persistent link: https://www.econbiz.de/10005779510

Lot-Sizing Problems: Modelling Issues and a Specialized Branch-and-Cut System BC-PROD.

Belvaux, G.; Wolsey, L.A. - Center for Operations Research and Econometrics (CORE), … - 1998

BC-PROD is a prototype modelling and optimization system designed and able to tackle a wide variety of the discrete-time lot-sizing problems arising both in the practice and in literature. To use BC-PROD, the user needs to formulate his/her problem as a mixed integer program using XPRESS-MP's...

Persistent link: https://www.econbiz.de/10005634177

Forecasting long memory processes subject to structural breaks

WANG, Shin-Huei; BAUWENS, Luc; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2012

We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving … rates illustrates the usefulness of our forecasting procedure. The empirical success of the HAR-RV model is explained, from … an econometric perspective, by our theoretical and simulation results. …

Persistent link: https://www.econbiz.de/10010927723

Autoregressive moving average infinite hidden markov-switching models

Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - Center for Operations Research and Econometrics (CORE), … - 2015

changes in the dynamics of the series, for specifying models parsimoniously, and may be helpful in forecasting. We propose the …

Persistent link: https://www.econbiz.de/10011246294

Hierarchical shrinkage priors for dynamic regressions with many predictors

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

– 2010 I exhaustively evaluate the forecasting properties of Bayesian shrinkage in regressions with many predictors. Results …

Persistent link: https://www.econbiz.de/10010610451

Multivariate volatility modeling of electricity futures

bauwens, Luc; hafner, Christian; pierret, Diane - Center for Operations Research and Econometrics (CORE), … - 2011

-term contracts and the new model achieves higher forecasting performance compared to a standard DCC model. …

Persistent link: https://www.econbiz.de/10010610461

Hierarchical shrinkage in time-varying parameter models

BELMONTE, Miguel A.G.; KOOP, Gary; KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...

Persistent link: https://www.econbiz.de/10010610466

VAR forecasting using Bayesian variable selection

KOROBILIS, Dimitris - Center for Operations Research and Econometrics (CORE), … - 2011

is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

Persistent link: https://www.econbiz.de/10010610485

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10010610494