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Bayesian Modeling of Time-Varying Parameters Using Regression Trees
Hauzenberger, Niko; Huber, Florian; Koop, Gary; … - 2023
In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART). The novelty of this model stems from the fact that the...
Persistent link: https://www.econbiz.de/10014263474
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Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian; Koop, Gary; Onorante, Luca - 2019
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...
Persistent link: https://www.econbiz.de/10012031047
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Inducing sparsity and shrinkage in time-varying parameter models
Huber, Florian; Koop, Gary; Onorante, Luca - 2019
Time-varying parameter (TVP) models have the potential to be over-parameterized, particularly when the number of variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates produced by these priors can still have appreciable...
Persistent link: https://www.econbiz.de/10012117683
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Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel - 2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10013123188
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Large Time-Varying Parameter VARs
Korobilis, Dimitris - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … models (TVP-VARs). To overcome computational constraints with likelihood-based estimation of large systems, we rely on Kalman … filter estimation with forgetting factors. We also draw on ideas from the dynamic model averaging literature and extend the …
Persistent link: https://www.econbiz.de/10013108928
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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Koop, Gary; Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2009
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10008561154
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Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...
Persistent link: https://www.econbiz.de/10008487526
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Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?
Koop, Gary; Potter, Simon - 2006
Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic times series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g., a threshold autoregressive...
Persistent link: https://www.econbiz.de/10014193866
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Are Apparent Findings of Nonlinearity Due to Structural Instability in Economic Time Series?
Koop, Gary; Potter, Simon - 2001
Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive...
Persistent link: https://www.econbiz.de/10014125964
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Dynamic asymmetries in US unemployment
Koop, Gary; Potter, Simon M. - School of Economics, University of Edinburgh - 2004
We examine dynamic asymmetries in US unemployment using non-linear time series models and Bayesian methods. We find strong statistical evidence in favour of a two regime threshold autoregressive model. Empirical results indicate that, once we take into account both parameter and model...
Persistent link: https://www.econbiz.de/10005369100