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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W. - 2009
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10012720260
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10014146014
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Likelihood based inference for an Identifiable Fractional Vector Error Correction Model
Carlini, Federico; Lasak, Katarzyna - 2018
and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength <0.5). Therefore our …
Persistent link: https://www.econbiz.de/10011932356
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a … levels. The first step consists in estimating the parameters of the model under the null hypothesis of the cointegration rank … r=1,2, ,p-1. This step provides consistent estimates of the order of fractional cointegration, the cointegration vectors …
Persistent link: https://www.econbiz.de/10010377205
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On an Estimation Method for an Alternative Fractionally Cointegrated Model
Carlini, Federico; Lasak, Katarzyna - 2014
In this paper we consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than models proposed in Granger (1986) and Johansen (2008, 2009). We discuss the identification issues of the model of Avarucci (2007), following...
Persistent link: https://www.econbiz.de/10010377231
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Bayesian Averaging over Many Dynamic Model Structures with Evidence on the Great Ratios and Liquidity Trap Risk
Strachan, Rodney W.; van Dijk, Herman K. - 2008
A Bayesian model averaging procedure is presented that makes use of a finite mixture of many model structures within the class of vector autoregressive (VAR) processes. It is applied to two empirical issues. First, stability of the Great Ratios in U.S. macro-economic time series is investigated,...
Persistent link: https://www.econbiz.de/10010325721
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Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks using Bayesian Model Averaging
Strachan, Rodney W.; van Dijk, Herman K. - 2010
) processes. The linear VAR model is extendedto permit cointegration, a range of deterministic processes, equilibrium restrictions …
Persistent link: https://www.econbiz.de/10010326026
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Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Strachan, Rodney; van Dijk, Herman K. - 2012
The empirical support for features of a Dynamic Stochastic General Equilibrium model with two technology shocks is valuated using Bayesian model averaging over vector autoregressions. The model features include equilibria, restrictions on long-run responses, a structural break of unknown date...
Persistent link: https://www.econbiz.de/10010326330
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; van Dijk, Herman K. - 2014
cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization …
Persistent link: https://www.econbiz.de/10010377207
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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