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VARs are often estimated with Bayesian techniques to cope with model dimensionality. The posterior means define a class of shrinkage estimators, indexed by hyperparameters that determine the relative weight on maximum likelihood estimates and prior means. In a Bayesian setting, it is natural to...
Persistent link: https://www.econbiz.de/10015326468
We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...
Persistent link: https://www.econbiz.de/10014635717
The primary motivation behind quantitative modeling in international trade and many other fields is to shed light on …
Persistent link: https://www.econbiz.de/10014322709
Models defined by moment inequalities have become a standard modeling framework for empirical economists, spreading …
Persistent link: https://www.econbiz.de/10014247961
We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, gradient linear boosting). While much less used in the literature, the latter are found to outperform...
Persistent link: https://www.econbiz.de/10014322806
We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance--in terms of SDF Sharpe ratio and test asset pricing errors--is improving in model parameterization (or "complexity"). Our empirical findings verify the...
Persistent link: https://www.econbiz.de/10014372446
new decision trees) and locally selects variables (with Bayesian priors) for modeling panel data with potential grouped …
Persistent link: https://www.econbiz.de/10014322811
vector that governs the option price dynamics. The estimators converge stably to a mixed-Gaussian law and we develop feasible … estimators for the limiting variance. We provide semiparametric tests for the option price dynamics based on the distance between … the stability of the risk-neutral dynamics over a given period of time. A large-scale Monte Carlo study indicates the …
Persistent link: https://www.econbiz.de/10012460613
The conventional wisdom in macroeconomic modeling is to attribute business cycle fluctuations to innovations in the … understood partly because modeling the latent volatilities can be quite demanding. This paper suggests a simply methodology that … interaction between the level and second-moment dynamics …
Persistent link: https://www.econbiz.de/10012455010
language processing and generative statistical modeling to create a factor structure of unstructured data for downstream … relatively interpretable spanning clusters (i.e., textual factors) through topic modeling. Our data-driven approach captures …
Persistent link: https://www.econbiz.de/10015145119