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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011460775
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Hierarchical time varying estimation of a multi factor asset pricing model
Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019
factor loadings. Also, out of sample forecasting for stocks and two large portfolios indicates that the hierarchical method …
Persistent link: https://www.econbiz.de/10012144223
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Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …
Persistent link: https://www.econbiz.de/10010280764
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Forecasting exchange rates with a large Bayesian VAR
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …
Persistent link: https://www.econbiz.de/10010280768
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Forecasting large datasets with reduced rank multivariate models
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007
The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we … propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising …
Persistent link: https://www.econbiz.de/10010284099
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Forecasting government bond yields with large Bayesian VARs
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010
We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …
Persistent link: https://www.econbiz.de/10010286274