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Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica - 2012
the Amsterdam Exchange index and use the combined predictive forecasts in an investment asset allocation exercise …
Persistent link: https://www.econbiz.de/10013114729
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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
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The Impact of Uncertainty on Investment : A Meta-Analysis
Koetse, Mark J.; de Groot, Henri L. F.; Florax, Raymond … - 2006
In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since … investment research. For example, not including factor prices in investment models may seriously affect the model outcomes … can explain to a large extent why empirical estimates of the investment-uncertainty relationship differ …
Persistent link: https://www.econbiz.de/10014057062
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Anticipated and Experienced Emotions in an Investment Experiment
Bosman, Ronald; van Winden, Frans - 2001
This paper experimentally investigates investment behavior.We find that global risk – i.e. risk independent of an agent …’sinvestment decision (like political risk) – substantiallydecreases investment. Also effort to obtain the capital usedfor investment … decreases investment substantially. Theseresults are neither in line with expected utility theory norwith psychologically …
Persistent link: https://www.econbiz.de/10010324995
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Bayesian Analysis of Instrumental Variable Models: Acceptance-Rejection within Direct Monte Carlo
Zellner, Arnold (posthumously); Ando, Tomohiro; … - 2012
We discuss Bayesian inferential procedures within the family of instrumental variables regression models and focus on two issues: existence conditions for posterior moments of the parameters of interest under a flat prior and the potential of Direct Monte Carlo (DMC) approaches for efficient...
Persistent link: https://www.econbiz.de/10010326354
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Bayesian analysis of instrumental variable models: The potential of direct Monte Carlo
Zellner, Arnold; Ando, Tomohiro; Basturk, Nalan; … - 2012
Persistent link: https://www.econbiz.de/10010326499
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The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012
This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...
Persistent link: https://www.econbiz.de/10010326521
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A Bayesian Analysis of Unobserved Component Models Using Ox
Bos, Charles S. - 2011
This article details a Bayesian analysis of the Nile river flow data, using a simple state space model. This allows the article to concentrate on implementation issues surrounding this model. For this data set, Metropolis-Hastings and Gibbs sampling algorithms are implemented in the programming...
Persistent link: https://www.econbiz.de/10013128945
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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
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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