Showing 1 - 10 of 428
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
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
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
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
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
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
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
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
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
,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