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BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS
Bauwens, Luc; Rombouts, Jeroen - Econometric Society - 2004
We consider the estimation of a large number of GARCH models, say of the order of several hundreds. Especially in the multivariate case, the number of parameters is extremely large. To reduce this number and render estimation feasible, we regroup the series in a small number of clusters. Within...
Persistent link: https://www.econbiz.de/10005328977
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How Large Are Returns to Scale in the U.S.? A View Across the Boundary
Lubik, Thomas A. - Econometric Society - 2004
issue is of importance for assessing the possibility of equilibrium indeterminacy and sunspot-driven business cycles. The … paper therefore suggest that increasing returns to scale are not the source for sunspot fluctuations in U.S. business cycles …
Persistent link: https://www.econbiz.de/10005063709
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Cyclical components in economic time series: A Bayesian approach
Dijk, Herman K. van; Harvey, Andrew; Trimbur, Thomas - Econometric Society - 2004
periodicity to be used. The method is based on a general class of unobserved component models that allow relatively smooth cycles … to be extracted. Posterior densities of parameters and smoothed cycles are obtained using Markov chain Monte Carlo … methods. An application to estimating business cycles in macroeconomic series illustrates the viability of the procedure for …
Persistent link: https://www.econbiz.de/10005702586
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The Value of Structural Information in the VAR Model
Strachan, Rodney W.; Dijk, Herman K. van - Econometric Society - 2004
Economic policy decisions are often informed by empirical economic analysis. While the decision-maker is usually only interested in good estimates of outcomes, the analyst is interested in estimating the model. Accurate inference on the structural features of a model, such as cointegration, can...
Persistent link: https://www.econbiz.de/10005063701
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Structural Error Correction Model: A Bayesian Perspective
Chua, Chew Lian; Summers, Peter - Econometric Society - 2004
This paper proposes a Structural Error Correction Model (SECM) that allows concurrent estimation of the structural parameters and analysis of cointegration. We amalgamate the Bayesian methods of Kleibergen and Paap (2002) for analysis of cointegration in the ECM, and the Bayesian methods of...
Persistent link: https://www.econbiz.de/10005063745
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Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data
Martin, Gael; Strickland, Chris; Forbes, Catherine - Econometric Society - 2004
A general Bayesian Markov Chain Monte Carlo methodology is utilized for conducting an analysis of the intensity process of stock market data. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms. Both duration and count data time series approaches are utilized...
Persistent link: https://www.econbiz.de/10005170371
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Do Technology Shocks Drive Hours Up or Down?
Rossi, Barbara; Pesavento, Elena - Econometric Society - 2004
This paper analyzes the robustness of the estimate of a positive productivity shock on hours to the presence of a possible unit root in hours. Estimations in levels or in first differences provide opposite conclusions. We rely on an agnostic procedure in which the researcher does not have to...
Persistent link: https://www.econbiz.de/10005342192
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Business Cycles and Macroeconomic Policy Coordination in Mercosur
Gonzalez-Rozada, Martin; Fanelli, Jose Maria - Econometric Society - 2004
Abstract: The paper analyzes cyclical comovements in the Mercosur area differentiating idiosyncratic from common shocks. In the Mercosur (or any region for that matter) shocks can be country-specific, affecting only one country or a specific set of countries (for example, a weather-related...
Persistent link: https://www.econbiz.de/10005063563
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What moves GNP?
Uhlig, Harald - Econometric Society - 2004
This paper aims at identifying the main shocks, which cause movements in real GNP. It does so by searching for two shocks in the context of a VAR model, which explain the majority of the k-step ahead prediction error variances in real GNP for horizons between 0 and 5 years. We find that two...
Persistent link: https://www.econbiz.de/10005699655
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Estimating the Output Gap : A Kalman Filter Approach
Plantier, L. Christopher; Karagedikli, Ozer - Econometric Society - 2004
The output gap plays a crucial role in thinking of many inflation targeting central banks yet, the real time estimates of the output gap undergo substantial revisions as more data become available. In this paper, we use the state space framework to augment the simple Hodrick-Prescott filter with...
Persistent link: https://www.econbiz.de/10005702552