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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm …
Persistent link: https://www.econbiz.de/10012119825
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Precision-based sampling for state space models that have no measurement error
Mertens, Elmar - 2023
This article presents a computationally efficient approach to sample from Gaussian state space models. The method is an instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known as precision). The novelty is to handle cases...
Persistent link: https://www.econbiz.de/10014336195
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Financial cycles across G7 economies : a view from wavelet analysis
Mandler, Martin; Scharnagl, Michael - 2019
We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...
Persistent link: https://www.econbiz.de/10012020175
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Precision-based sampling with missing observations : a factor model application
Hauber, Philipp; Schumacher, Christian - 2021
easily integrated into Bayesian estimation procedures like the Gibbs sampler. By allowing for incomplete data sets, the …
Persistent link: https://www.econbiz.de/10012510141
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …
Persistent link: https://www.econbiz.de/10010373684
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Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results
Kaufmann, Sylvia; Schumacher, Christian - 2012
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …
Persistent link: https://www.econbiz.de/10009674269
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A flexible state-space model with lagged states and lagged dependent variables : simulation smoothing
Hauber, Philipp; Schumacher, Christian; Zhang, Jiachun - 2019
We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...
Persistent link: https://www.econbiz.de/10012000564
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Measuring the natural rate of interest in Brazil
Maka, Alexis - 2023
Persistent link: https://www.econbiz.de/10014428785
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452