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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 …

Persistent link: https://www.econbiz.de/10013062413

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

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

Empirical Bayes Forecasts of One Time Series Using Many Predictors

Knox, Thomas A.; Stock, James H.; Watson, Mark W. - 2021

We consider both frequentist and empirical Bayes forecasts of a single time series using a linear model with T observations and K orthonormal predictors. The frequentist formulation considers estimators that are equivariant under permutations (reorderings) of the regressors. The empirical Bayes...

Persistent link: https://www.econbiz.de/10013211698

Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility

Diebold, Francis X. - 2016

Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models …

Persistent link: https://www.econbiz.de/10012983417

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

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

Hierarchical Bayes Models with Many Instrumental Variables

Chamberlain, Gary; Imbens, Guido - 2021

In this paper, we explore Bayesian inference in models with many instrumental variables that are potentially weakly correlated with the endogenous regressor. The prior distribution has a hierarchical (nested) structure. We apply the methods to the Angrist-Krueger (AK, 1991) analysis of returns...

Persistent link: https://www.econbiz.de/10013218446

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

Bayesian Inference and Portfolio Efficiency

Kandel (deceased), Shmuel - 2008

A Bayesian approach is used to investigate a sample's information about a portfolio's degree of inefficiency. With standard diffuse priors, posterior distributions for measures of portfolio inefficiency can concentrate well away from values consistent with efficiency, even when the portfolio is...

Persistent link: https://www.econbiz.de/10012774475