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Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011460766

Demand or supply? An empirical exploration of the effects of climate change on the macroeconomy

Ciccarelli, Matteo; Marotta, Fulvia - 2021

Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests the combined macroeconomic effects of climate change, environmental policies and technology. Overall, we find evidence of significant macroeconomic effects over the business cycle:...

Persistent link: https://www.econbiz.de/10013254720

Responses to Monetary Policy Shocks in the East and the West of Europe: A Comparison

Jarocinski, Marek - 2006

This paper compares responses to monetary shocks in the EMU countries (in the pre-EMU sample) and in the New Member States (NMS) from Central Europe. The small-sample problem, especially acute for the NMS, is mitigated by using a Bayesian estimation procedure which combines information across...

Persistent link: https://www.econbiz.de/10013370041

Uniform priors for impulse responses

Arias, Jonas E.; Rubio-Ramírez, Juan Francisco; … - 2023

There has been a call for caution when using the conventional method for Bayesian inference in setidentified structural vector autoregressions on the grounds that the uniform prior over the set of orthogonal matrices could be nonuniform for individual impulse responses or other quantity of...

Persistent link: https://www.econbiz.de/10014388427

Bayesian (non-)unique sparse factor modelling

Kaufmann, Sylvia; Pape, Markus - 2023

Factor modelling extracts common information from a high-dimensional data set into few common components, where the latent factors usually explain a large share of data variation. Exploratory factor estimation induces sparsity into the loading matrix to associate units or series with those...

Persistent link: https://www.econbiz.de/10014476261

Accounting for heterogeneity in the measurement of hospital performance

Widmer, Philippe K.; Zweifel, Peter; Farsi, Mehdi - 2011

With prospective payment of hospitals becoming more common, measuring their performance is gaining in importance. However, the standard cost frontier model yields biased efficiency scores because it ignores technological heterogeneity between hospitals. In this paper, efficiency scores are...

Persistent link: https://www.econbiz.de/10010316845

Forecasting large datasets with reduced rank multivariate models

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2007

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance with the most promising existing alternatives, namely, factor models, large scale...

Persistent link: https://www.econbiz.de/10010284099

Have Standard VARs Remained Stable Since the Crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - 2014

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock transmission mechanism. This requires the VAR parameters to be stable over the evaluation and forecast sample, or to explicitly consider parameter time variation. The earlier...

Persistent link: https://www.econbiz.de/10012143851

The impacts of losing health insurance

Argys, Laura M.; Friedson, Andrew; Pitts, M. Melinda; … - 2017

disenrollment is linked with individual-level credit risk score and debt data to identify the effects. The results suggest that the … of increases in the amount and share of delinquent debt (90 days past due or more) and of increases in bankruptcy risk …

Persistent link: https://www.econbiz.de/10012030298

Killer debt: The impact of debt on mortality

Argys, Laura M.; Friedson, Andrew I.; Pitts, M. Melinda - 2016

This study analyzes the effect of individual finances (specifically creditworthiness and severely delinquent debt) on … is utilized in an instrumental variables design. The possibility of the reverse causality of bad health causing debt and … 2005 residence. Worsening creditworthiness and increases in severely delinquent debt are found to lead to increases in …

Persistent link: https://www.econbiz.de/10011776824

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