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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

Ardia, David; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2009

Important choices for efficient and accurate evaluation of marginal likelihoods by means of Monte Carlo simulation methods are studied for the case of highly non-elliptical posterior distributions. We focus on the situation where one makes use of importance sampling or the independence chain...

Persistent link: https://www.econbiz.de/10005016276

Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form

Bos, Charles S.; Shephard, Neil - Tinbergen Institute - 2004

volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are …

Persistent link: https://www.econbiz.de/10005144469

The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Institute - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10005137091

If Winning isn't Everything, why do they keep Score? A Structural Empirical Analysis of Dutch Flower Auctions

Berg, Gerard J. van den; Klaauw, Bas van der - Tinbergen Institute - 2007

This paper provides a structural empirical analysis of Dutch auctions of houseplants at the flower auction in Aalsmeer, the Netherlands. The data set is unique for Dutch auctions in the sense that it includes observations of all losing bids in an interval adjacent to the winning bid. The size of...

Persistent link: https://www.econbiz.de/10005137129

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10005137171

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10005137376

Possibly Ill-behaved Posteriors in Econometric Models

Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Institute - 2008

Highly non-elliptical posterior distributions may occur in several econometric models, in particular, when the likelihood information is allowed to dominate and data information is weak. We explain the issue of highly non-elliptical posteriors in a model for the effect of education on income...

Persistent link: https://www.econbiz.de/10005504938

Some Exact Tests for Manifest Properties of Latent Trait Models

Gooijer, Jan G. de; Yuan, Ao - Tinbergen Institute - 2010

Item response theory is one of the modern test theories with applications in educational and psychological testing. Recent developments made it possible to characterize some desired properties in terms of a collection of manifest ones, so that hypothesis tests on these traits can, in principle,...

Persistent link: https://www.econbiz.de/10008838530

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...</i>

Persistent link: https://www.econbiz.de/10008838647

Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence

Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2003

U.S. trading in non-U.S. stocks has grown dramatically. Round-the-clock, these stocks trade in the home market, in the U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price discovery. As opposed to the standard "variance ratio'' approach,...

Persistent link: https://www.econbiz.de/10005137175