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Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10015218160
This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling...
Persistent link: https://www.econbiz.de/10015218251
which avoids difficult and time consuming tuning of MCMC strategies. The AdMitIS methodology is illustrated with an …
Persistent link: https://www.econbiz.de/10015221773
This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling...
Persistent link: https://www.econbiz.de/10015225073
which avoids difficult and time consuming tuning of MCMC strategies. The AdMitIS methodology is illustrated with an …
Persistent link: https://www.econbiz.de/10015225074
This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling...
Persistent link: https://www.econbiz.de/10015226469
Time-varying VAR models have become increasingly popular and are now widely used for policy analysis and forecast purposes. They constitute fundamental tools for the anticipation and analysis of economic crises, which represent rapid shifts in dynamic responses and shock volatility. Yet, despite...
Persistent link: https://www.econbiz.de/10015261554
This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for TVP dynamic regression models in the presence of a large...
Persistent link: https://www.econbiz.de/10015212021
Non-Gaussian state-space models arise in several applications, and within this framework the binary time series setting provides a relevant example. However, unlike for Gaussian state-space models — where filtering, predictive and smoothing distributions are available in closed form — binary...
Persistent link: https://www.econbiz.de/10015214276
Through an estimated and calibrated DSGE model with imperfect competition and nominal rigidities, this work aims to assess the dynamic effects of exogenous perturbations in a small open economy to provide a prescription of a simple monetary policy rule associated with the minimal welfare losses...
Persistent link: https://www.econbiz.de/10015215124