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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10011255775
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; Dijk, Herman K. van - Tinbergen Instituut - 2012
This discussion paper resulted in a publication in 'The International Economic Review', 2013, 54(1), 385-402.<P> The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions....</p>
Persistent link: https://www.econbiz.de/10011255853
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2010
The empirical support for a real business cycle model with two technology shocks is evaluated using a Bayesian model …) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions … real business cyclemodel. For example, restricting long run responses to identify technologyshocks has reasonable support …
Persistent link: https://www.econbiz.de/10011256713
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Measuring and Predicting Heterogeneous Recessions
Cakmakli, Cem; Paap, Richard; Dijk, Dick van - Tinbergen Instituut - 2011
This paper conducts an empirical analysis of the heterogeneity of recessions in monthly U.S. coincident and leading indicator variables. Univariate Markov switching models indicate that it is appropriate to allow for two distinct recession regimes, corresponding with ‘mild’ and ‘severe’...
Persistent link: https://www.econbiz.de/10011256392
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Modeling and Estimation of Synchronization in Multistate Markov-Switching Models
Cakmakli, Cem; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Instituut - 2011
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011257049
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Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Lucas, André; Zhang, Xin - Tinbergen Instituut - 2014
We present a simple new methodology to allow for time variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than squared lagged observations. This allows the parameter...
Persistent link: https://www.econbiz.de/10011257169
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Tenure Profiles and Efficient Separation in a Stochastic Productivity Model
Buhai, Sebastian; Teulings, Coen N. - Tinbergen Instituut - 2005
in the current job follow a random walk. This setting allows the application of real option theory. We derive the …
Persistent link: https://www.econbiz.de/10011257607
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Divergent Priors and well Behaved Bayes Factors
Strachan, Rodney W.; Dijk, Herman K. van - Tinbergen Instituut - 2011
Divergent priors are improper when defined on unbounded supports. Bartlett's paradox has been taken to imply that using improper priors results in ill-defined Bayes factors, preventing model comparison by posterior probabilities. However many improper priors have attractive properties that...
Persistent link: https://www.econbiz.de/10011255610
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Dynamic Correlations and Optimal Hedge Ratios
Bos, Charles S.; Gould, Phillip - Tinbergen Instituut - 2007
The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios between pairs of assets. Finding an optimal hedge requires not only knowledge of the variability of both assets, but also of the co-movement between the two assets. For this...
Persistent link: https://www.econbiz.de/10011255869
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012