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Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - Federal Reserve Bank of Atlanta - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10005514597

Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - Federal Reserve Bank of Atlanta - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10005401964

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - Federal Reserve Bank of Atlanta - 1998

In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...

Persistent link: https://www.econbiz.de/10005402042

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - Federal Reserve Bank of Atlanta - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10005721646

Sources of the Great Moderation: shocks, frictions, or monetary policy?

Liu, Zheng; Waggoner, Daniel F.; Zha, Tao - Federal Reserve Bank of Atlanta - 2009

We study the sources of the Great Moderation by estimating a variety of medium-scale dynamic stochastic general equilibrium (DSGE) models that incorporate regime switches in shock variances and the inflation target. The best-fit model—the one with two regimes in shock variances—gives...

Persistent link: https://www.econbiz.de/10004965420

Technology shocks, employment, and labor market frictions

Mandelman, Federico S.; Zanetti, Francesco - Federal Reserve Bank of Atlanta - 2008

Recent empirical evidence suggests that a positive technology shock leads to a decline in labor inputs. However, the standard real business cycle model fails to account for this empirical regularity. Can the presence of labor market frictions address this problem without otherwise altering the...

Persistent link: https://www.econbiz.de/10004965422

Understanding Markov-switching rational expectations models

Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao - Federal Reserve Bank of Atlanta - 2009

We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models, and we develop an algorithm to check these conditions in practice. We use three examples, based on the new Keynesian model of...

Persistent link: https://www.econbiz.de/10004965428

A note on the estimation of asset pricing models using simple regression betas

Kan, Raymond; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular tool for estimating and testing beta asset pricing models. In this paper, we focus on the case in which simple regression betas are used as...

Persistent link: https://www.econbiz.de/10004965431

Bayesian semiparametric stochastic volatility modeling

Jensen, Mark J.; Maheu, John M. - Federal Reserve Bank of Atlanta - 2008

This paper extends the existing fully parametric Bayesian literature on stochastic volatility to allow for more general return distributions. Instead of specifying a particular distribution for the return innovation, we use nonparametric Bayesian methods to flexibly model the skewness and...

Persistent link: https://www.econbiz.de/10004965436

Immigration, remittances, and business cycles

Mandelman, Federico S.; Zlate, Andrei - Federal Reserve Bank of Atlanta - 2010

We use data on border enforcement and macroeconomic indicators from the United States and Mexico to estimate a two-country business cycle model of labor migration and remittances. The model matches the cyclical dynamics of labor migration to the United States and documents how remittances to...

Persistent link: https://www.econbiz.de/10004965437