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

Robertson, John C.; Tallman, Ellis W. - Federal Reserve Bank of Atlanta - 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/10005514597

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

Chauvet, Marcelle; Lima, Elcyon C.R.; Vasquez, Brisne - Federal Reserve Bank of Atlanta - 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/10005401964

Conditional forecasts in dynamic multivariate models

Waggoner, Daniel F.; Zha, Tao - Federal Reserve Bank of Atlanta - 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/10005402042

Bayesian methods for dynamic multivariate models

Sims, Christopher A.; Zha, Tao - Federal Reserve Bank of Atlanta - 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/10005721646

Minimum-variance kernels, economic risk premia, and tests of multi-beta models

Balduzzi, Pierluigi; Robotti, Cesare - Federal Reserve Bank of Atlanta - 2001

This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a...

Persistent link: https://www.econbiz.de/10005514591

Analytic derivatives of the matrix exponential for estimation of continuous-time ARMA models

Zadrozny, Peter A. - Federal Reserve Bank of Atlanta - 1989

Persistent link: https://www.econbiz.de/10005514596

When do long-run identifying restrictions give reliable results?

Faust, Jon; Leeper, Eric M. - Federal Reserve Bank of Atlanta - 1994

Persistent link: https://www.econbiz.de/10005401848

Nominal versus real wage rigidities: A Bayesian approach

Rabanal, Pau; Rubio-Ramírez, Juan F. - Federal Reserve Bank of Atlanta - 2001

This paper explores the capability of a dynamic stochastic general equilibrium model with staggered price setting and real wage rigidities to fit the data with reasonable average durations of price and wage contracts. The authors implement a Bayesian approach for parameter estimation and for...

Persistent link: https://www.econbiz.de/10005401856

The present-value model of the current account has been rejected: Round up the usual suspects

Nason, James M.; Rogers, John H. - Federal Reserve Bank of Atlanta - 2003

Tests of the present-value model of the current account are frequently rejected by the data. Standard explanations rely on the "usual suspects" of nonseparable preferences, shocks to fiscal policy and the world real interest rate, and imperfect international capital mobility. The authors confirm...

Persistent link: https://www.econbiz.de/10005401862

Toward a modern macroeconomic model usable for policy analysis

Leeper, Eric M.; Sims, Christopher A. - Federal Reserve Bank of Atlanta - 1994

Persistent link: https://www.econbiz.de/10005401890