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Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed using a Panel Markov-Switching VAR model. The model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of...
Persistent link: https://www.econbiz.de/10011335013
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Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...
Persistent link: https://www.econbiz.de/10011382678
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This paper explores ways to integrate model uncertainty into policy evaluation. We first describe a general framework for the incorporation of model uncertainty into standard econometric calculations. This framework employs Bayesian model averaging methods that have begun to appear in a range of...
Persistent link: https://www.econbiz.de/10012467771
ranked according to the information restrictions employed in constructing noise estimates. Our results show that … information sets that exclude those variables …
Persistent link: https://www.econbiz.de/10012476117