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Forecasting Aluminum Prices with Commodity Currencies
Pincheira, Pablo; Hardy, Nicolás - 2019
In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...
Persistent link: https://www.econbiz.de/10015265738
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Bayesian Approach and Identification
Kociecki, Andrzej - 2013
The paper aims at systematic placement of identification concept within Bayesian approach. Pointing to some … deficiencies of the standard Bayesian language to describe identification problem we propose several useful characterizations that … them. Moreover we introduce the concepts of uniform, marginal and faithful identification. We argue that all these concepts …
Persistent link: https://www.econbiz.de/10015236806
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On the J-test for nonnested hypotheses and Bayesian extension
Rao, Surekha; Ghali, Moheb; Krieg, John - 2008
possible to use the information generated in the process of applying the J-test to implement a Bayesian approach that provides … Schwarz Information Criterion and Bayesian Information Criterion we can use the classical estimates of the log of the maximum … likelihood which are available from the estimation procedures used to implement the J test to obtain Bayesian posterior odds and …
Persistent link: https://www.econbiz.de/10015216495
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Robustness of Bayesian results for Inverse Gaussian distribution under ML-II epsilon-contaminated and Edgeworth Series class of prior distributions
Sinha, Pankaj; Jayaraman, Prabha - 2009
belonging to the class of ML-II ε-contaminated and ESD does not affect the Bayesian results. …
Persistent link: https://www.econbiz.de/10015216972
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A small open economy model for Nigeria: a BVAR-DSGE approach
Olayeni, Olaolu Richard - 2009
Motivated by the way a small open economy should react to business cycles, we have estimated a small open economy (SOE) model for Nigeria. This is with a view to understanding how the Nigerian economy should be managed in the face of a cycle such as the current global meltdown. Our SOE model is...
Persistent link: https://www.econbiz.de/10015217544
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Bayes reliability measures of Lognormal and inverse Gaussian distributions under ML-II ε-contaminated class of prior distributions
Sinha, Pankaj; Jayaraman, Prabha - 2009
In this paper we employ ML-II ε-contaminated class of priors to study the sensitivity of Bayes Reliability measures for an Inverse Gaussian (IG) distribution and Lognormal (LN) distribution to misspecification in the prior. The numerical illustrations suggest that reliability measures of both...
Persistent link: https://www.econbiz.de/10015217746
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Robustness Procedures in Economic Growth Regression Models
Mapa, Dennis S.; Briones, Kristine Joy S. - 2007
extreme bound analysis (EBA) and Bayesian Averaging of Classical Estimates (BACE) were applied to fifteen determinants of …
Persistent link: https://www.econbiz.de/10015220871
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DSGE Model Validation in a Bayesian Framework: an Assessment
Paccagnini, Alessia - 2010
This paper presents the concept of Model Validation applied to a Dynamic Stochastic General equilibrium Model (DSGE). The main problem discussed is the approximation of the statistical representation for a DSGE model when not all endogenous variables are observable. MonteCarlo experiments in...
Persistent link: https://www.econbiz.de/10015222705
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DSGE Model Evaluation in a Bayesian Framework: an Assessment
Paccagnini, Alessia - 2010
This paper presents the concept of Model Validation applied to a Dynamic Stochastic General equilibrium Model (DSGE). The main problem discussed is the approximation of the statistical representation for a DSGE model when not all endogenous variables are observable. MonteCarlo experiments in...
Persistent link: https://www.econbiz.de/10015222882
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The Nature and Determinants of Volatility in Agricultural Prices
Balcombe, Kelvin - 2009
The volatility of 19 agricultural commodity prices are examined at monthly and annual frequencies. All of the price series are found to exhibit persistent volatility (periods of relatively high and low volatility). There is also strong evidence of transmission of volatilities across prices....
Persistent link: https://www.econbiz.de/10015222992