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Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Instituut - 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/10011257194

Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014

We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...

Persistent link: https://www.econbiz.de/10011272592

Bayesian Simultaneous Equations Analysis using Reduced Rank Structures

Kleibergen, Frank; Dijk, Herman K. van - Tinbergen Instituut - 1998

="http://people.few.eur.nl/hkvandijk/PDF/Kleibergen_and_Van_Dijk_1998_ET_bayes_sim_equations.pdf">'Econometric Theory'</A>, 1998, 14(6), 701-743.<P> Diffuse priors lead to pathological … decomposition. The priors/posteriors of the parameters of the SEM are therefore proportional to the priors/posteriors of the … parameters of the linear model under the condition that the restrictions hold. This leads to a framework for constructing priors …

Persistent link: https://www.econbiz.de/10011255719

A Comparison of Marginal Likelihood Computation Methods

Bos, Charles S. - Tinbergen Instituut - 2002

In a Bayesian analysis, different models can be compared on the basis of theexpected or marginal likelihood they attain. Many methods have been devised to compute themarginal likelihood, but simplicity is not the strongest point of most methods. At the sametime, the precision of methods is often...

Persistent link: https://www.econbiz.de/10011255796

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

Bayesian Forecasting of Federal Funds Target Rate Decisions

Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - Tinbergen Instituut - 2011

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC decision during the period January 1990 - June...

Persistent link: https://www.econbiz.de/10011256487

On the Variation of Hedging Decisions in Daily Currency Risk Management

Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001

This discussion paper resulted in a publication in (I. Edward George (eds.)), 2001, Bayesian methods with applications to science, policy and official statistics, Eurostat, 31-40.<P> Internationally operating firrns naturally face the decision whether or not to hedge the currencyrisk implied by...</p>

Persistent link: https://www.econbiz.de/10011256848

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

Transmission of Government Spending Shocks in the Euro Area: Time Variation and Driving Forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - Tinbergen Instituut - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10011257061

Do Experts incorporate Statistical Model Forecasts and should they?

Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - Tinbergen Instituut - 2011

Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...

Persistent link: https://www.econbiz.de/10011257244