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A Markov-switching model is fit for eighteen exchange rates at quarterly and monthly frequencies. This model fits well in-sample at the quarterly frequency for many exchange rates. By the mean-squared-error or mean-absolute-error criterion. the Markov model does not generate superior forecasts...
Persistent link: https://www.econbiz.de/10012474755
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/10012471000
arrivals. Each of these arriving consumers then solves a standard discrete choice problem. We present a Bayesian IV estimation …
Persistent link: https://www.econbiz.de/10012794558
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/10012457891
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/10012457925
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/10012459094
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption … that economic variables are properly measured by a single indicator, and that all relevant information for the estimation … empirical framework for the estimation of DSGE models that exploits the relevant information from a data-rich environment. This …
Persistent link: https://www.econbiz.de/10012465872
We present a general framework for Bayesian estimation and causality assessment in epidemiological models. The key to …
Persistent link: https://www.econbiz.de/10012496171
capital accu- mulation. Our estimation strategy searches for parameters that minimize ex post errors in an Euler equation … estimation of parameters of dynamic optimization problems in which non-convexities lead to extended periods of investment …
Persistent link: https://www.econbiz.de/10012462977
estimation method. Every period firms simultaneously select an action from a finite set. We characterize the set of Markov … conditions. We propose a simple estimation procedure which follows the steps in the identification argument. The estimator is …
Persistent link: https://www.econbiz.de/10012468972