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Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models
Wróblewska, Justyna - In: Central European Journal of Economic Modelling and … 3 (2011) 3, pp. 169-186
The concept of cointegration that enables the proper statistical analysis of long-run comovements between unit root …
Persistent link: https://www.econbiz.de/10010610428
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Analyzing data revisions with a dynamic stochastic general equilibrium model
Croushore, Dean; Sill, Keith - Federal Reserve Bank of Philadelphia - 2014
We use a structural dynamic stochastic general equilibrium model to investigate how initial data releases of key macroeconomic aggregates are related to final revised versions and how identified aggregate shocks influence data revisions. The analysis sheds light on how well preliminary data...
Persistent link: https://www.econbiz.de/10010930293
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A DSGE-VAR for the Euro Area
Negro, Marco Del; Schorfheide, Frank - Society for Economic Dynamics - SED - 2004
This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...
Persistent link: https://www.econbiz.de/10005085474
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A DSGE-VAR for the Euro Area
Negro, Marco Del; Schorfheide, Frank - Society for Computational Economics - SCE - 2004
This paper uses a modified version of the DSGE model estimated in Smets and Wouters (2003) to generate a prior distribution for a vector autoregression, following the approach in Del Negro and Schorfheide (2003). This DSGE-VAR is fitted to Euro area data on GDP, consumption, investment, nominal...
Persistent link: https://www.econbiz.de/10005345303
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On the Fit and Forecasting Performance of New Keynesian Models
Del Negro, Marco; Schorfheide, Frank; Smets, Frank; … - C.E.P.R. Discussion Papers - 2005
The Paper provides new tools for the evaluation of DSGE models, and applies it to a large-scale New Keynesian dynamic stochastic general equilibrium (DSGE) model with price and wage stickiness and capital accumulation. Specifically, we approximate the DSGE model by a vector autoregression (VAR),...
Persistent link: https://www.econbiz.de/10005124071
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Forecasting with Bayesian Vector Autoregressions
Karlsson, Sune - Handelshögskolan, Örebro Universitet - 2012
Prepared for the Handbook of Economic Forecasting, vol 2 <p> This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and spe-...</p>
Persistent link: https://www.econbiz.de/10011019076
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Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
Villani, Mattias - Sveriges Riksbank - 2005
Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...
Persistent link: https://www.econbiz.de/10005649059
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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; Dijk, Herman K. van - Tinbergen Instituut - 2014
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011272592
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Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration.
Paap, R.; Kleibergen, F. - Econometrisch Instituut, Faculteit der Economische … - 1998
Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …
Persistent link: https://www.econbiz.de/10005660887
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Do Experts incorporate Statistical Model Forecasts and should they?
Legerstee, Rianne; Franses, Philip Hans; Paap, Richard - Tinbergen Institute - 2011
Experts can rely on statistical model forecasts when creating their own forecasts. Usually it is not known what experts actually do. In this paper we focus on three questions, which we try to answer given the availability of expert forecasts and model forecasts. First, is the expert forecast...
Persistent link: https://www.econbiz.de/10009321847