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The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - Tinbergen Instituut - 2015
This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>
Persistent link: https://www.econbiz.de/10011272589
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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - Tinbergen Instituut - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10011255807
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - Tinbergen Instituut - 2012
simulated data and two empirical data sets, involving the settler mortality instrument of Acemoglu et al. (2001) and father …
Persistent link: https://www.econbiz.de/10011256253
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Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10011256750
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Global Aging and Economic Convergence: A Real Option or Still a Case of Science Fiction?
Dalen, Hendrik P. van - Tinbergen Instituut - 2007
How does global aging affect the convergence in global economic development? Both the developing and developed world will be characterized for the coming decades by aging populations. Changes in the age distribution of a population are an important determinant of economic performance as they...
Persistent link: https://www.econbiz.de/10011255772
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Do Early Life and Contemporaneous Macro-conditions explain Health at Older Ages?
Portrait, France; Alessie, Rob; Deeg, Dorly - Tinbergen Instituut
The paper presents an approach which thoroughly assesses the role of early life and contemporaneous macro-conditions in explaining health at older ages. In particular, we investigate the role of exposure to infectious diseases and economic conditions during infancy and childhood, as well as the...
Persistent link: https://www.econbiz.de/10011256205
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Ageing and the Relative Price of Nontradeables
Bettendorf, Leon; Dewachter, Hans - Tinbergen Instituut - 2007
In this paper we identify the effects of ageing on the relative price of nontradeables versus tradeables. We consider two cases. In a first specification, age effects only account for short-run dynamics. An alternative case allows for permanent age effects. Estimating the respective cases by...
Persistent link: https://www.econbiz.de/10011256252
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Individual Mortality and Macro-Economic Conditions from Birth to Death
Lindeboom, Maarten; Portrait, France; Berg, Gerard J. … - Tinbergen Instituut - 2003
We analyze the effect of economic conditions early in life on individual mortality rate later in life, using business … indicators. We correct for secular changes over time and other mortality determinants. We nonparametrically compare those born in … a recession to those born in the preceding boom, and we estimate duration models where the individual's mortality rate …
Persistent link: https://www.econbiz.de/10011256757
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Combined Density Nowcasting in an Uncertain Economic Environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - Tinbergen Instituut - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10011272583
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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