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Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality
Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U … jointly with the latent variables underlying mortality of all age classes. In contrast to previous models, a similar … forecasts for particular age classes. A structural analysis of the relationship between age-specific mortality and covariates is …
Persistent link: https://www.econbiz.de/10005784846
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Disaggregated Cost Pass-Through Based Econometric Inflation-Forecasting Model for Hungary
Várpalotai, Viktor - Magyar Nemzeti Bank (MNB) - 2003
This paper presents one of the inflation forecasting models used by the Magyar Nemzeti Bank in its recent inflation forecasts. The model attempts to integrate all the properties of the former models considered by the author as being advantageous and desirable into a unified framework. Thus, this...
Persistent link: https://www.econbiz.de/10005178279
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Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009
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/10005103392
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Stochastic Volatility Estimation with GPU Computing
Santos, António Alberto; Andrade, João - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2014
In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and Markov chain Monte Carlo (MCMC) simulations through the approximation of the a-posteriori distribution of parameters. Simulated independent draws are made possible by using...
Persistent link: https://www.econbiz.de/10010765774
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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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Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
Nakajima, Jouchi - In: Monetary and Economic Studies 29 (2011) November, pp. 107-142
This paper aims to provide a comprehensive overview of the estimation methodology for the time-varying parameter structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR model, combined with stochastic volatility, enables...
Persistent link: https://www.econbiz.de/10009364154
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Bayesian Analysis of Time-Varying Parameter Vector Autoregressive Model for the Japanese Economy and Monetary Policy
Nakajima, Jouchi; Kasuya, Munehisa; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2009
This paper analyzes the time-varying parameter vector autoregressive (TVP-VAR) model for the Japanese economy and monetary policy. The time-varying parameters are estimated via the Markov chain Monte Carlo method and the posterior estimates of parameters reveal the time-varying structure of the...
Persistent link: https://www.econbiz.de/10004972461
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Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications
Nakajima, Jouchi - Institute for Monetary and Economic Studies, Bank of Japan - 2011
This paper aims to provide a comprehensive overview of the estimation methodology for the time-varying parameter structural vector autoregression (TVP-VAR) with stochastic volatility, in both methodology and empirical applications. The TVP-VAR model, combined with stochastic volatility, enables...
Persistent link: https://www.econbiz.de/10008863933
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Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model
Andersson, Fredrik N. G.; Li, Yushu - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2014
Several central banks have adopted inflation targets. The implementation of these targets is flexible; the central banks aim to meet the target over the long term but allow inflation to deviate from the target in the short-term in order to avoid unnecessary volatility in the real economy. In this...
Persistent link: https://www.econbiz.de/10011097055
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Modeling Mortality with a Bayesian Vector Autoregression
Njenga, Carolyn; Sherris, Michael - ARC Centre of Excellence in Population Ageing Research … - 2011
Mortality risk models have been developed to capture trends and common factors driving mortality improvement. Multiple … is necessary to take into account the richer age structure of mortality improvement from young ages to middle and then …
Persistent link: https://www.econbiz.de/10010551692