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Perceived shocks and impulse responses
Giacomini, Raffaella; Lu, Jason; Smetanina, Katja - 2024
single perceived shock that closely aligns with observed inflation surprises. The time-varying impulse responses indicate a … significant decline in the perceived persistence of this shock, suggesting that inflation expectations have become more "anchored …
Persistent link: https://www.econbiz.de/10015123512
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Long memory via networking
Schennach, Susanne M. - 2018 - This version: June 12, 2018
Many time-series exhibit "long memory": Their autocorrelation function decays slowly with lag. This behavior has traditionally been modeled via unit roots or fractional Brownian motion and explained via aggregation of heterogenous processes, nonlinearity, learning dynamics, regime switching or...
Persistent link: https://www.econbiz.de/10011883050
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Narrative restrictions and proxies
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2022
structural vector autoregression (SVAR): imposing 'narrative restrictions' (NR) on the shock signs in an otherwise setidentified … SVAR; and casting the information about the shock signs as a discretevalued 'narrative proxy' (NP) to point-identify the … impulse responses. The NP is likely to be 'weak' given that the sign of the shock is typically known in a small number of …
Persistent link: https://www.econbiz.de/10013173190
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Robust Bayesian inference for set-identified models
Giacomini, Raffaella; Kitagawa, Toru - 2018 - This draft: October 2018
This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting a multiple-prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set-identified models. We show that these tools have a well-defined...
Persistent link: https://www.econbiz.de/10011924556
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Robust Bayesian inference for set-identified models
Giacomini, Raffaella; Kitagawa, Toru - 2020
This paper reconciles the asymptotic disagreement between Bayesian and frequentist inference in set-identified models by adopting a multiple-prior (robust) Bayesian approach. We propose new tools for Bayesian inference in set-identified models and show that they have a well-defined posterior...
Persistent link: https://www.econbiz.de/10012202355
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Locally- but not globally-identified SVAR
Bacchiocchi, Emanuele; Kitagawa, Toru - 2020 - This draft: 20 July 2020
This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally equivalent under the imposed restrictions. Although the...
Persistent link: https://www.econbiz.de/10012251913
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed diffusion processes are employed, but with the...
Persistent link: https://www.econbiz.de/10010487528
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Bayesian deconvolution : an R vinaigrette
Koenker, Roger - 2017
Nonparametric maximum likelihood estimation of general mixture models pioneered by the work of Kiefer and Wolfowitz (1956) has been recently reformulated as an exponential family regression spline problem in Efron (2016). Both approaches yield a low dimensional estimate of the mixing...
Persistent link: https://www.econbiz.de/10011758030
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Properties of the maximum likelihood estimator in spatial autoregressive models
Hillier, Grant H.; Martellosio, Federico - 2013
The (quasi-) maximum likelihood estimator (MLE) for the autoregressive parameter in a spatial autoregressive model cannot in general be written explicitly in terms of the data. The only known properties of the estimator have hitherto been its first-order asymptotic properties (Lee, 2004,...
Persistent link: https://www.econbiz.de/10010126876
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Economic theory and forecasting : lessons from the literature
Giacomini, Raffaella - 2014
Does economic theory help in forecasting key macroeconomic variables? This article aims to provide some insight into the question by drawing lessons from the literature. The definition of "economic theory" includes a broad range of examples, such as accounting identities, disaggregation and...
Persistent link: https://www.econbiz.de/10010407425