I measure the importance of sectoral shocks in US aggregate output by using the World Input–Output Table (WIOT). The WIOT allows me to correct potential sub-graph bias in previous literature, caused by using only the US industrial production input–output table. I report results from three...

Suppose a fund manager uses predictors in changing portfolio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

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...

In this note, we provide the application of HCCME-type refinements to nonlinear GMM models with Bayesian interpretations.

Using GARCH models for density prediction of stock index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is found between qualities of whole density forecasts, whereas the Bayesian approach exhibits significantly better left-tail forecast...

Exchange rate arrangements and trade are inherently connected. Exchange rate volatility has a significant impact on trade volumes, and trading partners thus could affect each other’s exchange rate regime choice. This spatial effect among trading partners has been overlooked in empirical...

A trade-off exists between the Gelfand and Dey (1994) and Chib (1995) methods to calculate the marginal likelihood in Bayesian estimation. Using the Markov Chain Monte Carlo method, we demonstrate that the performance of the two methods is fairly close.

The validity of family background variables instrumenting education in income regressions has been much criticized. In this paper, we use data of the 2004 German Socio-Economic Panel and Bayesian analysis in order to analyze to what degree violations of the strong validity assumption affect the...

This discussion paper was published in the <I> Economics of Education Review</I> (2012). Vol. 31(5), 515-523.<P> The validity of family background variables instrumenting education in income regressions has been much criticized. In this paper, we use data of the 2004 German Socio-Economic Panel and...</p></i>

This paper studies the pruned state-space system for higher-order approximations to the solutions of DSGE models. For second- and third-order approximations, we derive the statistical properties of this system and provide closed-form expressions for ?first and second unconditional moments and...