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Bayesian Treatment Effects Models with Variable Selection for Panel Outcomes with an Application to Earnings Effects of Maternity Leave
Jacobi, Liana; Wagner, Helga; Frühwirth-Schnatter, Sylvia - 2014
Child birth leads to a break in a woman's employment history and is considered one reason for the relatively poor labor market outcomes observed for women compared to men. However, the time spent at home after child birth varies significantly across mothers and is likely driven by observed and,...
Persistent link: https://www.econbiz.de/10011310789
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Forecasting Aggregate Productivity using Information from Firm-Level Data
Bartelsman, Eric J.; Wolf, Zoltan - 2009
explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …
Persistent link: https://www.econbiz.de/10010325710
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Priors for the long run
Giannone, Domenico; Primiceri, Giorgio E.; Lenza, Michele - 2017
-run predictions of a wide class of theoretical models yields substantial improvements in the forecasting performance. …
Persistent link: https://www.econbiz.de/10011942777
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Predictive likelihood comparisons with DSGE and DSGE-VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - 2013
distribution. As an empirical illustration, we use euro area data and compare the forecasting performance of the New Area …
Persistent link: https://www.econbiz.de/10011605581
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An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economi...
Camba-Méndez, Gonzalo; Kapetanios, George; Papailias, Fotis - 2015
This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small … and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area …
Persistent link: https://www.econbiz.de/10011605818
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
We propose a novel time-varying parameters mixed-frequency dynamic factor model which is integrated into a dynamic model averaging framework for macroeconomic nowcasting. Our suggested model can efficiently deal with the nature of the real-time data flow as well as parameter uncertainty and...
Persistent link: https://www.econbiz.de/10012120406
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Energy Markets and Global Economic Conditions
Baumeister, Christiane; Korobilis, Dimitris; Lee, Thomas K. - 2020
usefulness for forecasting real oil prices and global petroleum consumption. We find that world industrial production is one of …
Persistent link: https://www.econbiz.de/10012214193
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Improving inference and forecasting in VAR models using cross-sectional information
Prüser, Jan; Blagov, Boris - 2022
shrinkage towards zero to address overfitting concerns. The prior is flexible as it detects shared dynamics of individual … pooling with zero shrinkage delivers sharper parameter inference that improves point and density forecasts over only zero … shrinkage or only pooling specifications, and helps with structural analysis by lowering the estimation uncertainty. …
Persistent link: https://www.econbiz.de/10013366009
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What drives euro area break-even inflation rates?
Ciccarelli, Matteo; García, Juan Angel - 2009
The yield spread between nominal and inflation-linked bonds (or break-even inflation rates, BEIR) is a fundamental indicator of inflation expectations (and associated premia). This paper investigates which macroeconomic and financial variables explain BEIRs. We evaluate a large number of...
Persistent link: https://www.econbiz.de/10011605042
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Choosing factors in a multifactor asset pricing model: A Bayesian approach
Ericsson, Johan; Karlsson, Sune - 2003
We use Bayesian techniques to select factors in a general multifactor asset pricing model. From a given set of 15 factors we evaluate all possible pricing models by the extent to which they describe the data as given by the posterior model probabilities. Interest rates, premiums, returns on...
Persistent link: https://www.econbiz.de/10010281324