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This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>
Persistent link: https://www.econbiz.de/10011288392
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10003636133
This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...
Persistent link: https://www.econbiz.de/10010504035
This article details a Bayesian analysis of the Nile river flow data, using a simple state space model. This allows the article to concentrate on implementation issues surrounding this model. For this data set, Metropolis-Hastings and Gibbs sampling algorithms are implemented in the programming...
Persistent link: https://www.econbiz.de/10013128945
We present a Bayesian estimation method applied to an extended set of national accounts data and estimates of approximately 2500 variables. The method is based on conventional national accounts frameworks as compiled by countries in Central America, in particular Guatemala, and on concepts that...
Persistent link: https://www.econbiz.de/10013128953
This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel - typically a posterior density kernel - using an adaptive mixture of...
Persistent link: https://www.econbiz.de/10012971949
This paper presents the R-package <B>MitISEM</B> (mixture of <I>t</I> by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...</i></b>
Persistent link: https://www.econbiz.de/10011272589
Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The switching between the two VAR processes is governed by a two state Markov chain with transition probabilities that depend on how long...
Persistent link: https://www.econbiz.de/10014059391
BayVAR_R is an R package designed to estimate and analyze Vec-tor Autoregressive (VAR) models from both a classical (UVAR) andBayesian (BVAR) perspective. The package includes functionalities forthe speci cation, estimation and diagnosis of such a models. It alsoprovides procedures for...
Persistent link: https://www.econbiz.de/10013309434
In this paper, we derive a small textbook New Keynesian DSGE model to evaluate Polish and Romanian business cycles during the 2003 - 2014 period. Given the similarities between the two economies, we use an identical calibration procedure for certain coefficients and marginal prior distributions...
Persistent link: https://www.econbiz.de/10011392289