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Modeling and Forecasting Age-Specific Mortality: A Bayesian Approach
Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...
Persistent link: https://www.econbiz.de/10010609985
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Bayesian Estimation and Model Selection in the Generalised Stochastic Unit Root Model
Leon-Gonzalez, Roberto; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10008513138
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Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
In this paper, we develop and apply Bayesian inference for an extended Nelson- Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...
Persistent link: https://www.econbiz.de/10008496955
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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
and we use it for the integrals arising in rational expecta- tions and in nonlinear state space lters. The estimation step …
Persistent link: https://www.econbiz.de/10005677881
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Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913
Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We use a Bayesian dynamic factor model to measure Germany’s pre World War I economic activity. The procedure makes better use of existing time series data than historical national accounting. To investigate industrialization we propose to look at comovement between sectors. We find that...
Persistent link: https://www.econbiz.de/10005677899
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Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge4 for the solution and estimation of a general class of …
Persistent link: https://www.econbiz.de/10005677995
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The Influence of the Business Cycle on Mortality
Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We analyze the impact of short-run economic fluctuations on age-specific mortality using Bayesian time series econometrics and contribute to the debate on the procyclicality of mortality. For the first time, we examine the differing consequences of economic changes for all individual age...
Persistent link: https://www.econbiz.de/10005678021
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Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality
Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extending it in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...
Persistent link: https://www.econbiz.de/10005784846
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Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a …
Persistent link: https://www.econbiz.de/10011207678
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Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break
Trenkler, Carsten; Saikkonen, Pentti; Lütkepohl, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated variables. The tests are not likelihood ratio tests but the deterministic...
Persistent link: https://www.econbiz.de/10005489957