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Bayesian analysis of coefficient instability in dynamic regressions
Ciapanna, Emanuela; Taboga, Marco - In: Econometrics 7 (2019) 3, pp. 1-32
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time …-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the … compare favorably to those of other methods commonly employed to deal with parameter instability. A distinguishing feature of …
Persistent link: https://www.econbiz.de/10012696244
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Non-causality due to included variables
Triacca, Umberto - In: Econometrics 5 (2017) 4, pp. 1-4
The contribution of this paper is to investigate a particular form of lack of invariance of causality statements to changes in the conditioning information sets. Consider a discrete-time three-dimensional stochastic process z = (x, y1, y2)0. We want to study causality relationships between the...
Persistent link: https://www.econbiz.de/10011995194
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Bayesian analysis of bubbles in asset prices
Fulop, Andras; Yu, Jun - In: Econometrics 5 (2017) 4, pp. 1-23
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011995195
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Formula I(1) and I(2): Race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011995197
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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics 6 (2018) 3, pp. 1-14
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...
Persistent link: https://www.econbiz.de/10011995225
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Financial big data solutions for state space panel regression in interest rate dynamics
Toczydlowska, Dorota; Peters, Gareth W. - In: Econometrics 6 (2018) 3, pp. 1-45
A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamics of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...
Persistent link: https://www.econbiz.de/10011995227
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - In: Econometrics 6 (2018) 4, pp. 1-22
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...
Persistent link: https://www.econbiz.de/10011995230
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, H. Peter; Paruolo, Paolo - In: Econometrics 5 (2017) 3, pp. 1-17
Persistent link: https://www.econbiz.de/10011995238
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Modeling real exchange rate persistence in Chile
Salazar, Leonardo - In: Econometrics 5 (2017) 3, pp. 1-21
The long and persistent swings in the real exchange rate have for a long time puzzled economists. Recent models built on imperfect knowledge economics seem to provide a theoretical explanation for this persistence. Empirical results, based on a cointegrated vector autoregressive (CVAR) model,...
Persistent link: https://www.econbiz.de/10011995239
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Cointegration between trends and their estimators in state space models and cointegrated vector autoregressive models
Johansen, Søren; Tabor, Morten Nyboe - In: Econometrics 5 (2017) 3, pp. 1-46
A state space model with an unobserved multivariate random walk and a linear observation equation is studied. The purpose is to find out when the extracted trend cointegrates with its estimator, in the sense that a linear combination is asymptotically stationary. It is found that this result...
Persistent link: https://www.econbiz.de/10011995243