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Empirical Bayes Methods for Dynamic Factor Models
Koopman, Siem Jan; Mesters, Geert - Tinbergen Instituut - 2014
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the … and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our …
Persistent link: https://www.econbiz.de/10011257599
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Empirical Bayes Methods for Dynamic Factor Models
Koopman, Siem Jan; Mesters, Geert - 2014
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the … and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our …
Persistent link: https://www.econbiz.de/10010377188
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the … and discuss the results of an empirical study concerning the forecasting of U.S. macroeconomic time series using our …
Persistent link: https://www.econbiz.de/10010357912
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Instituut - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011255922
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Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10011256750
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Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2012
We propose a new methodology for the Bayesian analysis of nonlinear non-Gaussian state space models with a Gaussian time-varying signal, where the signal is a function of a possibly high-dimensional state vector. The novelty of our approach is the development of proposal densities for the joint...
Persistent link: https://www.econbiz.de/10010326393
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Institute - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10005137091
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Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10010491347
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640