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Total factor productivity and the Mongolian transition
Chessa, Antonio G.; Schouwstra, Marije C. - 2005
Total Factor Productivity (TFP)is often used on the macro-economic level as an indicator of changes in efficiency of a country. In many transition economies TFP is seen to have been negative the last decade of the plan economy and starts increasing and become positive after a (quite a) few years...
Persistent link: https://www.econbiz.de/10011346474
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Decomposing portfolio value-at-risk : a general analysis
Hallerbach, Winfried G. - 1999 - This rev.: May 10, 1999
the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …
Persistent link: https://www.econbiz.de/10011301159
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Possibly ill-behaved posteriors in econometric models
Hoogerheide, Lennart; Dijk, Herman K. van - 2008
sophisticated neural network simulation techniques is explored. In all examples considered in this paper – a bimodal distribution of …
Persistent link: https://www.econbiz.de/10011374406
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Parameter driven multi-state duration models : simulated vs. approximate maximum likelihood estimation
Monteiro, André Antonio - 2008 - This version: February 15, 2008
Likelihood based inference for multi-state latent factor intensity models is hindered by the fact that exact closed-form expressions for the implied data density are not available. This is a common and well-known problem for most parameter driven dynamic econometric models. This paper reviews,...
Persistent link: https://www.econbiz.de/10011374420
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Transformed perturbation solutions for dynamic stochastic general equilibrium models
Blasques, Francisco; Nientker, Marc - 2019
This paper introduces a new solution method for Dynamic Stochastic General Equilibrium (DSGE) models that produces non explosive paths. The proposed solution method is as fast as standard perturbation methods and can be easily implemented in existing software packages like Dynare as it is...
Persistent link: https://www.econbiz.de/10011979524
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After...
Persistent link: https://www.econbiz.de/10011302625
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Penalized indirect inference
Blasques, Francisco; Duplinskiy, Artem - 2015
Parameter estimates of structural economic models are often difficult to interpret at the light of the underlying economic theory. Bayesian methods have become increasingly popular as a tool for conducting inference on structural models since priors offer a way to exert control over the...
Persistent link: https://www.econbiz.de/10010464781
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Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179