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System Priors for Econometric Time Series

Andrle, Michal - 2017

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...

Persistent link: https://www.econbiz.de/10012966549

Posterior consistency of nonparametric conditional moment restricted models

Liao, Yuan; Jiang, Wenxin - Volkswirtschaftliche Fakultät, … - 2011

This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite …

Persistent link: https://www.econbiz.de/10011113752

Shock from Graying : Is the Demographic Shift Weakening Monetary Policy Effectiveness

Imam, Patrick A. - 2013

effectiveness may moderate in graying societies. It then uses Bayesian estimation techniques for the U.S., Canada, Japan, U.K., and …

Persistent link: https://www.econbiz.de/10013075540

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E. A. - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10013073782

Efficient Bayesian estimation and combination of GARCH-type models

Ardia, David; Hoogerheide, Lennart F. - Volkswirtschaftliche Fakultät, … - 2010

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

Persistent link: https://www.econbiz.de/10008498470

Financial Factors : Implications for Output Gaps

Rabanal, Pau - 2015

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level, between 2000-2013. After joining the monetary union, a decline in some...

Persistent link: https://www.econbiz.de/10013016603

The Sources of Business Cycles in a Low Income Country

Houssa, Romain - 2015

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shocks. We identify the shocks with a combination of sign and recursive restrictions...

Persistent link: https://www.econbiz.de/10013025500

Financial Frictions in Data : Evidence and Impact

Taheri Sanjani, Marzie - 2015

cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Auto regression and New … risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish … counter-cyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default …

Persistent link: https://www.econbiz.de/10013028667