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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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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
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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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The relationship between DSGE and VAR models
Giacomini, Raffaella - 2013
This chapter reviews the literature on the econometric relationship between DSGE and VAR models from the point of view … of estimation and model validation. The mapping between DSGE and VAR models is broken down into three stages: 1) from … DSGE to state-space model; 2) from state-space model to VAR; 3) from VAR to finite order VAR. The focus is on discussing …
Persistent link: https://www.econbiz.de/10009744062
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Inference about non-identified SVARs
Giacomini, Raffaella; Kitagawa, Toru - 2014 - This draft: November 2014
We propose a method for conducting inference on impulse responses in structural vector autoregressions (SVARs) when the impulse response is not point identified because the number of equality restrictions one can credibly impose is not sufficient for point identification and/or one imposes sign...
Persistent link: https://www.econbiz.de/10010434070
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Robust Bayesian inference in proxy SVARs
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2019
We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the impulse responses or forecast error variance decompositions of interest are set-identified using external instruments (or 'proxy SVARs'). Existing Bayesian approaches to inference in proxy...
Persistent link: https://www.econbiz.de/10012033053
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Robust Bayesian inference in proxy SVARs
Giacomini, Raffaella; Kitagawa, Toru; Read, Matthew - 2020
We develop methods for robust Bayesian inference in structural vector autoregressions (SVARs) where the parameters of interest are set-identified using external instruments, or 'proxy SVARs'. Set-identification in these models typically occurs when there are multiple instruments for multiple...
Persistent link: https://www.econbiz.de/10012202405
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Graphical model inference with external network data
Jewson, Jack; Li, Li; Battaglia, Laura; Hansen, Stephen; … - 2022
A frequent challenge when using graphical models in applications is that the sample size is limited relative to the number of parameters to be learned. Our motivation stems from applications where one has external data, in the form of networks between variables, that provides valuable...
Persistent link: https://www.econbiz.de/10013438625
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2021 - Revised draft: September 2021
Economists are often interested in estimating averages with respect to distributions of unobservables, such as moments of individual fixed-effects, or average partial effects in discrete choice models. For such quantities, we propose and study posterior average effects (PAE), where the average...
Persistent link: https://www.econbiz.de/10012617686
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Posterior average effects
Bonhomme, Stéphane; Weidner, Martin - 2019
Economists are often interested in estimating averages with respect to distributions of unobservables. Examples are moments of individual fixed-effects, average effects in discrete choice models, or counterfactual simulations in structural models. For such quantities, we propose and study...
Persistent link: https://www.econbiz.de/10012063813