Similar Search Results

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero.We...

Persistent link: https://www.econbiz.de/10011252640

150 Years of Italian CO2 Emissions and Economic Growth

Annicchiarico, Barbara; Bennato, Anna Rita; Chini, … - School of Economics and Management, University of Aarhus - 2014

This paper examines the relationship between economic growth and carbon dioxide emissions in Italy considering the developments in a 150-year time span. Using several statistical techniques, we find that GDP growth and carbon dioxide emissions are strongly interrelated, with a dramatic change of...

Persistent link: https://www.econbiz.de/10010851275

Measuring Convergence using Dynamic Equilibrium Models: Evidence from Chinese Provinces

Pan, Lei; Posch, Olaf; Wel, Michel van der - School of Economics and Management, University of Aarhus - 2012

We propose a model to study economic convergence in the tradition of neoclassical growth theory. We employ a novel … convergence directly from estimating the parameters which determine equilibrium dynamics. The inference on the structural …’s provinces from 1978 to 2010. We report heterogeneity in the speed of convergence both across provinces and time. The Eastern …

Persistent link: https://www.econbiz.de/10010851198

Estimating Dynamic Equilibrium Models using Macro and Financial Data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - School of Economics and Management, University of Aarhus - 2011

We show that including financial market data at daily frequency, along with macro series at standard lower frequency, facilitates statistical inference on structural parameters in dynamic equilibrium models. Our continuous-time formulation conveniently accounts for the difference in observation...

Persistent link: https://www.econbiz.de/10009148812

Structural estimation of jump-diffusion processes in macroeconomics

Posch, Olaf - School of Economics and Management, University of Aarhus - 2007

Understanding the process of economic growth involves comparing competing theoretical models and evaluating their empirical relevance. Our approach is to take the neoclassical stochastic growth model directly to the data and make inferences about the model parameters of interest. In this paper,...

Persistent link: https://www.econbiz.de/10005787557

Bagging Weak Predictors

Lukas, Manuel; Hillebrand, Eric - School of Economics and Management, University of Aarhus - 2014

Relations between economic variables can often not be exploited for forecasting, suggesting that predictors are weak in the sense that estimation uncertainty is larger than bias from ignoring the relation. In this paper, we propose a novel bagging predictor designed for such weak predictor...

Persistent link: https://www.econbiz.de/10010851188

Multivariate Variance Targeting in the BEKK-GARCH Model

Pedersen, Rasmus Søndergaard; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2012

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...

Persistent link: https://www.econbiz.de/10010851199

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

Persistent link: https://www.econbiz.de/10010851206

Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

Holt, Matthew T.; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of González and Teräsvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift...

Persistent link: https://www.econbiz.de/10010851222

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

1
2
3
4
5
6
7
8
9
10
Next
Last