Narrow search
Showing 1 - 10 of 3,978
Cover Image
Identifying Long-Run Risks : A Bayesian Mixed-Frequency Approach
Schorfheide, Frank - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … Bayesian estimation provides strong evidence for a small predictable component in consumption growth (even if asset return data … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10013050301
Cover Image
Determinants of Long-Term Growth : A Bayesian Averaging of Classical Estimates (Bace) Approach
Doppelhofer, Gernot; Miller, Ronald I.; Sala-i-Martin, … - 2021
This paper examines the robustness of explanatory variables in cross-country economic growth regressions. It employs a novel approach, Bayesian Averaging of Classical Estimates (BACE), which constructs estimates as a weighted average of OLS estimates for every possible combination of included...
Persistent link: https://www.econbiz.de/10013243423
Cover Image
The Pruned State-Space System for Non-Linear DSGE Models : Theory and Empirical Applications
Andreasen, Martin M. - 2013
estimation for DSGE models approximated up to third-order and provides the foundation for indirect inference and SMM when …
Persistent link: https://www.econbiz.de/10013083081
Cover Image
Missing Events in Event Studies : Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S. - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10012911460
Cover Image
The International CAPM and a Wavelet-Based Decomposition of Value at Risk
Fernandez, Viviana - 2010
America and Asia, for the sample period 1990-2004. Our main conclusions are the following. First, the estimation results hinge … upon the choice of the world market portfolio. In particular, the stock markets of the sampled countries appear to be more …
Persistent link: https://www.econbiz.de/10012761574
Cover Image
DSGE Model-Based Forecasting of Non-Modelled Variables
Schorfheide, Frank - 2010
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10012757579
Cover Image
Demand Analysis Using Strategic Reports : An Application to a School Choice Mechanism
Agarwal, Nikhil - 2014
preference shifter. We then develop a tractable estimation procedure and apply it to Cambridge. Estimates suggest that while 82 …
Persistent link: https://www.econbiz.de/10013039757
Cover Image
Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
Baumeister, Christiane - 2014
This paper makes the following original contributions to the literature. (1) We develop a simpler analytical characterization and numerical algorithm for Bayesian inference in structural vector autoregressions that can be used for models that are overidentified, just-identified, or...
Persistent link: https://www.econbiz.de/10013040238
Cover Image
Bayesian Variable Selection for Nowcasting Economic Time Series
Scott, Steven L. - 2014
We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine...
Persistent link: https://www.econbiz.de/10013062413
Cover Image
An Econometric Model of International Long-Run Growth Dynamics
Müller, Ulrich - 2019
We develop a Bayesian latent factor model of the joint evolution of GDP per capita for 113 countries over the 118 years from 1900 to 2017. We find considerable heterogeneity in rates of convergence, including rates for some countries that are so slow that they might not converge (or diverge) in...
Persistent link: https://www.econbiz.de/10012857673