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Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253

Estimating Time-Varying DSGE Models Using Minimum Distance Methods

Giraitis, Liudas - 2014

This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium...

Persistent link: https://www.econbiz.de/10013048383

Hierarchical time varying estimation of a multi factor asset pricing model

Baillie, Richard; Calonaci, Fabio; Kapetanios, George - 2019

factor loadings. Also, out of sample forecasting for stocks and two large portfolios indicates that the hierarchical method …

Persistent link: https://www.econbiz.de/10011960113

Forecasting exchange rates with a large Bayesian VAR

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008

Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate … forecasting. In addition, we adopt a driftless random walk prior, so that cross-dynamics matter for forecasting only if there is …

Persistent link: https://www.econbiz.de/10010280768

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 …

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

Forecasting government bond yields with large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … useful for forecasting. …

Persistent link: https://www.econbiz.de/10010286274