Similar Search Results

Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components

Jahan-Parvar, Mohammad R.; Knipp, Charles; Szerszeń, … - 2024

Persistent link: https://www.econbiz.de/10015271311

Quasi maximum likelihood estimation and inference of large approximate dynamic factor models via the EM algorithm

Barigozzi, Matteo; Luciani, Matteo - 2024 - This version: October 23, 2024

Persistent link: https://www.econbiz.de/10015136017

Common factors, trends, and cycles in large datasets

Barigozzi, Matteo; Luciani, Matteo - 2017

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

Persistent link: https://www.econbiz.de/10011803273

Nonparametric time varying IV-SVARs : estimation and inference

Braun, Robin; Kapetanios, George; Marcellino, Massimiliano - 2024

Persistent link: https://www.econbiz.de/10015271384

Estimating (Markov-switching) VAR models without Gibbs sampling : a sequential Monte Carlo approach

Bognanni, Mark; Herbst, Edward P. - 2015 - This draft: December 10, 2015

Vector autoregressions with Markov-switching parameters (MS-VARs) fit the data better than do their constant-parameter predecessors. However, Bayesian inference for MS-VARs with existing algorithms remains challenging. For our first contribution, we show that Sequential Monte Carlo (SMC)...

Persistent link: https://www.econbiz.de/10011499604

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

Likelihood evaluation of models with occasionally binding constraints

Cuba-Borda, Pablo; Guerrieri, Luca; Iacoviello, Matteo; … - 2019

solution and estimation methods. We focus on the likelihood evaluation of models with occasionally binding constraints. We …

Persistent link: https://www.econbiz.de/10012181038

When simplicity offers a benefit, not a cost : closed-form estimation of the GARCH(1,1) model that enhances the efficiency of quasi-maximum likelihood

Prono, Todd - 2019 - This version: February 2019

can enhance the asymptotic efficiency of quasi-maximum likelihood estimation. In small samples, extensive Monte Carlo …

Persistent link: https://www.econbiz.de/10012181040

Publication bias and the cross-section of stock returns

Chen, Andrew Y.; Zimmermann, Tom - 2018

We develop an estimator for publication bias and apply it to 156 hedge portfolios based on published cross …-sectional return predictors. Publication bias adjusted returns are only 12% smaller than in-sample returns. The small bias comes from … that can survive journal review, a low t-stat hurdle of 1.8 controls for multiple testing using statistics recommended by …

Persistent link: https://www.econbiz.de/10011932200

On the finite-sample accuracy of nonparametric resampling algorithms for economic time series

Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz - 1999

Persistent link: https://www.econbiz.de/10001366231