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Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - 1998

In the existing literature, conditional forecasts in the vector autoregressive (VAR) framework have not been commonly presented with probability distributions or error bands. This paper develops Bayesian methods for computing such distributions or bands. It broadens the class of conditional...

Persistent link: https://www.econbiz.de/10010397440

A Gibbs simulator for restricted VAR models

Waggoner, Daniel F.; Zha, Tao - 2000

Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of...

Persistent link: https://www.econbiz.de/10010397454

Quantifying the half-life of deviations from PPP: The role of economic priors

Kilian, Lutz; Zha, Tao - 1999

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behavior of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

Persistent link: https://www.econbiz.de/10010397558

Forecasting Brazilian output in the presence of breaks: a comparison of linear and nonlinear models

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - 2002

This paper compares the forecasting performance of linear and nonlinear models under the presence of structural breaks … probabilities of recessions are used to analyze the Brazilian business cycle. The ability of each model in forecasting out …-of-sample the growth rates of GDP is examined. The forecasting ability of the two models is also compared with linear specifications …

Persistent link: https://www.econbiz.de/10010397390

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - 1996

If multivariate dynamic models are to be used to guide decision-making, it is important that it be possible to provide probability assessments of their results. Bayesian VAR models in the existing literature have not commonly (in fact, not at all as far as we know) been presented with error...

Persistent link: https://www.econbiz.de/10010397465

Prior parameter uncertainty: Some implications for forecasting and policy analysis with VAR models

Robertson, John C.; Tallman, Ellis W. - 1999

. In this paper, we examine how the treatment of prior uncertainty about parameter values can affect forecasting accuracy …

Persistent link: https://www.econbiz.de/10010397583

Likelihood-preserving normalization in multiple equation models

Waggoner, Daniel F.; Zha, Tao - 2000

Causal analysis in multiple equation models often revolves around the evaluation of the effects of an exogenous shift in a structural equation. When taking into account the uncertainty implied by the shape of the likelihood, we argue that how normalization is implemented matters for inferential...

Persistent link: https://www.econbiz.de/10010397461

Fiscal competition and reality: A time series approach

Becsi, Zsolt - 1998

Strategic interjurisdictional behavior and the interaction over time of the mean and dispersion of average tax rates across states are analyzed in a vector autoregression model. Variance decompositions reveal that fiscal competition explains roughly one-third of the time variation of state and...

Persistent link: https://www.econbiz.de/10010397473

Identification, vector autoregression, and block recursion

Zha, Tao - 1996

In the applications of identified VAR models, finite-sample properties are not obvious to obtain when identifying restrictions are imposed on some lagged relationships. As a result, researchers have either left lagged relationships unrestricted even though some restrictions clearly make economic...

Persistent link: https://www.econbiz.de/10010397541

Estimation of the term structure of interest rates - A parametric approach

Geyer, Alois; Mader, Richard - 1999

Readily available information about the current term structure of interest rates, its level and recent trends in important countries has become a standard tool of monetary policy analysis. Interest rate curves can be used for inflation and output forecasts, they may give useful indications about...

Persistent link: https://www.econbiz.de/10013369954

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