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A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart F. - 2012

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed … between target and mixture is minimized. We label this approach <I>Mixture of t by Importance Sampling and Expectation … Importance Sampling (IS) or the Metropolis-Hastings (MH) method. We also introduce three extensions of the basic MitISEM approach …

Persistent link: https://www.econbiz.de/10013108670

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Billio, Monica - 2012

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

Persistent link: https://www.econbiz.de/10013114729

Forecasting Aggregate Productivity Using Information from Firm-Level Data

Bartelsman, Eric J. - 2017

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10012976846

Do Experts Incorporate Statistical Model Forecasts and Should They?

Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - 2011

Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...

Persistent link: https://www.econbiz.de/10014176969

Bayesian Analysis of Instrumental Variable Models : Acceptance-Rejection within Direct Monte Carlo

Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012

acceptance-rejection sampling step within DMC. This Acceptance-Rejection within Direct Monte Carlo (ARDMC) method has the … to the well-known 'Metropolis-Hastings within Gibbs' sampling in the sense that one 'more difficult' step is used within …

Persistent link: https://www.econbiz.de/10014165267

Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

Basturk, Nalan - 2017

Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring connectivity between variables with weak...

Persistent link: https://www.econbiz.de/10012953258

Combination Schemes for Turning Point Predictions

Billio, Monica - 2012

We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by...

Persistent link: https://www.econbiz.de/10013114226

Bayesian Forecasting of Federal Funds Target Rate Decisions

van den Hauwe, Sjoerd - 2011

This paper examines which macroeconomic and financial variables are most informative for the federal funds target rate decisions made by the Federal Open Market Committee (FOMC) from a forecasting perspective. The analysis is conducted for the FOMC decision during the period January 1990 - June...

Persistent link: https://www.econbiz.de/10013122460

Modelling Issues in Kernel Ridge Regression

Exterkate, Peter - 2011

Kernel ridge regression is gaining popularity as a data-rich nonlinear forecasting tool, which is applicable in many different contexts. This paper investigates the influence of the choice of kernel and the setting of tuning parameters on forecast accuracy. We review several popular kernels,...

Persistent link: https://www.econbiz.de/10013119940

Social Interactions and Crime revisited: An Investigation using Individual Offender Data in Dutch Neighborhoods

Bernasco, Wim; de Graaff, Thomas; Rouwendal, Jan; … - 2012

,007 neighborhoods in the Netherlands, this article tests whether an individual's decision whether or not to be involved in crime is … of this decision, a small positive effect is found on violent crime, but not on property crime. The results suggest that … involved in crime. …

Persistent link: https://www.econbiz.de/10010326417