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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor; Krätzig, Markus - 2008
. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …
Persistent link: https://www.econbiz.de/10010263720
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JBendge: an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor; Krätzig, Markus - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10010263731
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Pruning in perturbation DSGE models: Guidance from nonlinear moving average approximations
Lan, Hong; Meyer-Gohde, Alexander - 2013
state consistent with the order of approximation. We compare our algorithm with six different pruning algorithms at second … and third order, documenting the differences between these six algorithms and standard (non pruned) state space … third order algorithm is the most accurate, the gains over two alternate algorithms are modest, suggesting that this choice …
Persistent link: https://www.econbiz.de/10010318747
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Solving linear rational expectations models with lagged expectations quickly and easily
Meyer-Gohde, Alexander - 2007
, applicability more general, and use more straight-forward than with existing algorithms. Current methods of truncating lagged …
Persistent link: https://www.econbiz.de/10010263712
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Generalized exogenous processes in DSGE: A Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...
Persistent link: https://www.econbiz.de/10011335461
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Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...
Persistent link: https://www.econbiz.de/10010331132
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Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
Hautsch, Nikolaus - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10010263700
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10010263738
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10010263760
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10010271838