Showing 1 - 10 of 369
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
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive estimation of the parameters in an auxiliary model. The learning scheme employed by the agents belongs to the class of stochastic approximation algorithms whose gain sequence is...
Persistent link: https://www.econbiz.de/10013139606
,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
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 Mixture of t by Importance Sampling and Expectation …, we introduce a permutation-augmented MitISEM approach, for importance sampling from posterior distributions in mixture …
Persistent link: https://www.econbiz.de/10013131624
alternative sampling schemes and compared with their first-order asymptotic approximations. We demonstrate that the limiting … sampling, whereas such an extension disrupts the distribution of IV and deteriorates the accuracy of its standard asymptotic …
Persistent link: https://www.econbiz.de/10013097341
We show that efficient importance sampling for nonlinear non-Gaussian state space models can be implemented by … simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence …
Persistent link: https://www.econbiz.de/10013066727
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10014221102
We analyze the illicit drug usage by inhabitants and visitors of European cities. Our statistical analyses are by means of linear mixed models. The data on illicit drug usage of cocaine, ecstasy, amphetamines, methamphetamines, and cannabis are collected through wastewater samples from the inlet...
Persistent link: https://www.econbiz.de/10014141485
We show that efficient importance sampling for nonlinear non-Gaussian state space models can be implemented by … simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence …
Persistent link: https://www.econbiz.de/10013111540