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Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture
Jensen, Mark J.; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012
In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated … with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically …. Its novelty is in modeling the joint, conditional, return-volatility, distribution with a infinite mixture of bivariate …
Persistent link: https://www.econbiz.de/10010555040
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The Hodrick-Prescott (HP) Filter as a Bayesian Regression Model
Polasek, Wolfgang - Rimini Centre for Economic Analysis (RCEA) - 2011
The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a smooth or long-term component of stationary series like growth rates. We show that the HP smoother can be viewed as a Bayesian linear model with a strong prior using differencing matrices for the...
Persistent link: https://www.econbiz.de/10009364166
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The Extended Hodrick-Prescott (HP) Filter for Spatial Regression Smoothing
Polasek, Wolfgang - Rimini Centre for Economic Analysis (RCEA) - 2011
The Hodrick-Prescott (HP) method is a popular smoothing method for economic time series to get a longterm component of stationary series like growth rates. The new extended HP smoothing model is applied to data-sets with an underlying metric and requires a Bayesian linear regression model with a...
Persistent link: https://www.econbiz.de/10009364167
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Identifying Speculative Bubbles with an Infinite Hidden Markov Model
Shi, Shu-Ping; Song, Yong - Rimini Centre for Economic Analysis (RCEA) - 2012
This paper proposes an infinite hidden Markov model (iHMM) to detect, date stamp, and estimate speculative bubbles. Three features make this new approach attractive to practitioners. first, the iHMM is capable of capturing the nonlinear dynamics of different types of bubble behaviors as it...
Persistent link: https://www.econbiz.de/10010551744
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Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Burda, Martin; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012
Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov...
Persistent link: https://www.econbiz.de/10010555038
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Chow-Lin Methods in Spatial Mixed Models
Polasek, Wolfgang; Sellner, Richard; Llano, Carlos - Rimini Centre for Economic Analysis (RCEA) - 2010
Missing data in dynamic panel models occur quite often since detailed recording of the dependent variable is often not possible at all observation points in time and space. In this paper we develop classical and Bayesian methods to complete missing data in panel models. The Chow-Lin (1971)...
Persistent link: https://www.econbiz.de/10008738785
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Estimating Nonlinear DSGE Models by the Simulated Method of Moments
Ruge-Murcia, Francisco J. - Rimini Centre for Economic Analysis (RCEA) - 2010
This paper studies the application of the simulated method of moments (SMM) for the estimation of nonlinear dynamic stochastic general equilibrium (DSGE) models. Monte Carlo analysis is employed to examine the small-sample properties of SMM in specifications with different curvature. Results...
Persistent link: https://www.econbiz.de/10008751299
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Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model
Amisano, Gianni; Tristani, Oreste - Rimini Centre for Economic Analysis (RCEA) - 2007
We estimate the approximate nonlinear solution of a small DSGE model on euro area data, using the conditional particle filter to compute the model likelihood. Our results are consistent with previous findings, based on simulated data, suggesting that this approach delivers sharper inference...
Persistent link: https://www.econbiz.de/10005091100
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Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
Bekiros, Stelios D.; Paccagnini, Alessia - Rimini Centre for Economic Analysis (RCEA) - 2013
In this paper we employ advanced Bayesian methods in estimating dynamic stochastic general equilibrium (DSGE) models. Although policymakers and practitioners are particularly interested in DSGE models, these are typically too stylized to be taken directly to the data and often yield weak...
Persistent link: https://www.econbiz.de/10010656010
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Does Globalization affect Regional Growth? Evidence for NUTS-2 Regions in EU-27
Polasek, Wolfgang; Sellner, Richard - Rimini Centre for Economic Analysis (RCEA) - 2011
We analyze the influence of newly constructed globalization measures on regional growth for the EU-27 countries between 2001 and 2006. The spatial Chow-Lin procedure, a method constructed by the authors, was used to construct on a NUTS-2 level a complete regional data for exports, imports and...
Persistent link: https://www.econbiz.de/10009018293