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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
regressors in the context of model uncertainty. We illustrate the use of LIBMA in an application to the estimation of a dynamic …
Persistent link: https://www.econbiz.de/10009327870
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …
Persistent link: https://www.econbiz.de/10008727797
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10005263948
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Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Jobst, Andreas - International Monetary Fund (IMF) - 2007
estimation. …
Persistent link: https://www.econbiz.de/10005768778
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A Bayesian Approach to Model Uncertainty
Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2004
This paper develops the theoretical background for the Limited Information Bayesian Model Averaging (LIBMA). The proposed approach accounts for model uncertainty by averaging over all possible combinations of predictors when making inferences about the variables of interest, and it...
Persistent link: https://www.econbiz.de/10005264140
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Default, Credit Growth, and Asset Prices
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006
systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs …
Persistent link: https://www.econbiz.de/10005264113
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An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011
of models, and the estimation techniques. It then presents estimations of some of specific models within these families …
Persistent link: https://www.econbiz.de/10009369442
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Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption
Spilimbergo, Antonio; Vamvakidis, Athanasios - International Monetary Fund (IMF) - 2000
The real effective exchange rate is an aggregation of several bilateral real exchange rates with respect to other countries. The aggregation is usually done under the assumption of constant elasticity of substitution (CES) between products from different countries. We investigate the validity of...
Persistent link: https://www.econbiz.de/10005826247
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Autocorrelation-Corrected Standard Errors in Panel Probits; An Application to Currency Crisis Prediction
Berg, Andrew; Coke, Rebecca N. - International Monetary Fund (IMF) - 2004
Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously...
Persistent link: https://www.econbiz.de/10005768958