Showing 1 - 10 of 23
We develop a formal statistical approach to investigate the possibility that leading indicator variables have different lead times at business cycle peaks and troughs. For this purpose, we propose a novel Markov switching vector autoregressive model, where economic growth and leading indicators...
Persistent link: https://www.econbiz.de/10010731572
This paper demonstrates that the class of conditionally linear and Gaussian state-space models offers a general and convenient framework for simultaneously handling nonlinearity, structural change and outliers in time series. Many popular nonlinear time series models, including threshold, smooth...
Persistent link: https://www.econbiz.de/10010731582
Likelihoods and posteriors of instrumental variable regression models with strong endogeneity and/or weak instruments may exhibit rather non-elliptical contours in the parameter space. This may seriously affect inference based on Bayesian credible sets. When approximating such contours using...
Persistent link: https://www.econbiz.de/10010731672
The performance of Monte Carlo integration methods like importance sampling or Markov Chain Monte Carlo procedures greatly depends on the choice of the importance or candidate density. Usually, such a density has to be "close" to the target density in order to yield numerically accurate results...
Persistent link: https://www.econbiz.de/10010731729
Likelihoods and posteriors of econometric models with strong endogeneity and weak instruments may exhibit rather non-elliptical contours in the parameter space. This feature also holds for cointegration models when near non-stationarity occurs and determining the number of cointegrating...
Persistent link: https://www.econbiz.de/10010731791
In Hoogerheide, Kaashoek and Van Dijk (2002) the class of neural network sampling methods is introduced to sample from a target (posterior) distribution that may be multi-modal or skew, or exhibit strong correlation among the parameters. In these methods the neural network is used as an...
Persistent link: https://www.econbiz.de/10010731804
Persistent link: https://www.econbiz.de/10005625437
Persistent link: https://www.econbiz.de/10005661009
We test for a change in the volatility of 215 US macroeconomic time series over the period 1960-1996. We find that … about 90\\% of these series have experienced a break in volatility during this period. This result is robust to controlling … for instability in the mean and business cycle nonlinearities. Real variables have seen a reduction in volatility since …
Persistent link: https://www.econbiz.de/10010837765
this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the … ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning … point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO …
Persistent link: https://www.econbiz.de/10010837928